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Working Paper
Forecasting Core Inflation and Its Goods, Housing, and Supercore Components
This paper examines the forecasting efficacy and implications of the recently popular breakdown of core inflation into three components: goods excluding food and energy, services excluding energy and housing, and housing. A comprehensive historical evaluation of the accuracy of point and density forecasts from a range of models and approaches shows that a BVAR with stochastic volatility in aggregate core inflation, its three components, and wage growth is an effective tool for forecasting inflation's components as well as aggregate core inflation. Looking ahead, the model's baseline ...