Nowcasting US inflation using a MIDAS augmented Phillips curve

Clement Marsilli

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Nowcasting US inflation using a MIDAS augmented Phillips curve

机译：使用MIDAS增强的菲利普斯曲线对美国通胀进行即时预测

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We present a mixed-frequency model for real-time monitoring of US inflation. Our approach relies on a mixed-data sampling (MIDAS) augmented Phillips curve with daily oil prices for nowcasting inflation. In line with the literature we find that performances of inflation nowcasting models rely on two key elements: the inclusion of high-frequency oil prices and a rolling-window framework. Our approach succeeds in providing a policy-oriented tool for monitoring inflation in real-time.

机译：我们提出了一种混合频率模型，用于实时监控美国的通货膨胀。我们的方法依赖于每日油价的混合数据采样（MIDAS）增强的菲利普斯曲线，用于临近的通货膨胀。根据文献，我们发现通货膨胀临近预报模型的表现取决于两个关键要素：包括高频油价和滚动窗口框架。我们的方法成功地提供了一种以政策为导向的工具，用于实时监控通货膨胀。

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《International Journal of Computational Economics and Econometrics》 |2017年第2期|64-77|共14页
作者
Clement Marsilli;
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作者单位

Banque de France,International Macroeconomics Division,31 rue Croix des Petits Champs, 75001 Paris, France;

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原文格式 PDF
正文语种 eng
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关键词
inflation; nowcasting; MIDAS; mixed-data sampling; oil prices;

机译：通货膨胀;临近播报MIDAS;混合数据采样;油价;

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专利

1. The Global Dimension of Inflation - Evidence from Factor-Augmented Phillips Curves [J] . Sandra Eickmeier, Katharina Pijnenburg Oxford Bulletin of Economics and Statistics . 2013,第1期

机译：通货膨胀的全球维度-来自因子增强的菲利普斯曲线的证据
2. Product market regulation, trend inflation and inflation dynamics in the new Keynesian Phillips curve [J] . Laurence Bloch Economic modelling . 2012,第5期

机译：新凯恩斯主义菲利普斯曲线中的产品市场监管，趋势通胀和通胀动态
3. The economics of the Phillips curve: Formation of inflation expectations versus incorporation of inflation expectations [J] . Thomas Palley Structural change and economic dynamics . 2012,第3期

机译：菲利普斯曲线的经济学：通胀预期的形成与通胀预期的并入
4. What Affects Inflation Expectations? Evidence from the Sticky Information Phillips Curve [C] . Yingying Xu Chinese Control and Decision Conference . 2016

机译：什么影响通货膨胀的预期？来自粘性信息菲利普斯曲线的证据
5. Inflation in the United States: Bargaining power, labor market institutions, and the Phillips curve. [D] . Pacitti, Aaron Nicholas. 2009

机译：美国的通货膨胀：议价能力，劳动力市场制度和菲利普斯曲线。
6. The Phillips curve in Iran: econometric versus artificial neural networks [O] . Sayyed Abdolmajid Jalaee, Mehrdad Lashkary, Amin GhasemiNejad 2019

机译：伊朗的菲利普斯曲线：计量经济学与人工神经网络
7. "A Karnel Regression of Phillips' Data" Abstract: Economists have assumed that the Phillips curve, which shows a positive (negative) relation between inflation and the output ratio (unemployment rate), may be mapped off the aggregate demand -aggregate supply apparatus. The paper shows that the Phillips curve requires that unlikely restrictions be put on the form of the aggregate supply and aggregate demand curves. In this case, it is inappropriate to treat data on inflation and capacity utilization as the basis for estimating an underlying formal model. The paper therefore uses a nonparametric, data-driven method to describe the data. This method, of kernel regression, shows the inflation-unemployment association in Phillips's sample to be negative on a global scale, yet irregular within particular ranges of unemployment. [O] . Nancy J. Wulwick, Y.P. Mack 100

机译：“菲利普斯数据的卡尔内尔回归”摘要：经济学家认为菲利普斯曲线显示了通货膨胀与产出比率（失业率）之间的正（负）关系，可以从总需求 - 聚集供应设备中绘制出来。该文表明，菲利普斯曲线要求对总供给和总需求曲线的形式进行不太可能的限制。在这种情况下，将通货膨胀和能力利用数据作为估算潜在正式模型的基础是不恰当的。因此，本文使用非参数，数据驱动的方法来描述数据。核心回归的这种方法表明菲利普斯样本中的通货膨胀 - 失业关联在全球范围内是负面的，但在特定的失业范围内是不规则的。

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Nowcasting US inflation using a MIDAS augmented Phillips curve

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