Are Phillips Curves Useful for Forecasting Inflation

By Andrew Atkeson, Lee E. Ohanian. 2001

758 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7cd70ddc2cb984b3fe1138e11fe98446d7a0f116

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Citations in the corpus

Where Did the Productivity Growth Go? Inflation Dynamics and the Distribution of Income (2005, neutral): “For discussion of changing parameters see Atkeson and Ohanian (2001) and Tetlow and Ironside (2005).”
Forecasting Output and Inflation: The Role of Asset Prices (2003, neutral): “Recently, Andrew Atkeson and Lee Ohanian (2001) challenged the usefulness of all inflation forecasts based on the Phillips curve and its variants.”
Monetary Policy and Inflation Dynamics (2004, neutral): “Atkeson and Ohanian (2001) have also noted a sharp drop in the slope of a similar reduced-form relationship, as have Staiger, Stock, and Watson (2001, figure 1.”
Has inflation become harder to forecast (2005, neutral): “This point was forcefully made by Atkeson and Ohanian (2001) (henceforth, AO), who found that backwards-looking Phillips curve forecasts were inferior to a naïve forecast of average twelve-month inflation by its average rate over the previous twelve months.”
The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time (2004, neutral): “This decline in the predictability of inflation has been noted previously in other studies, for example, Atkeson and Ohanian (2001), and Fisher, Liu, and Zhou (2002).”
Estimating Equilibrium Real Interest Rates in Real-Time (2005, neutral): “But with lagged inflation generally providing a decent forecast of future inflation in the U.S. (see Atkeson and Ohanian (2001), for example), our simple real rate should be comparable to any ex ante measure.”
A Core Inflation Indicator for the Euro Area (2005, neutral): “On their basis the following conclusions can be drawn: (i) Forecasting models based on a single variable and its lags are outperformed by the ARmodel and the RW, confirming what had been observed on the predictive power of single variables with US data (Atkeson and Ohanian, 2001). In particular, als”
Explaining the great moderation: it is not the shocks (2008, neutral): “The evidence on inflation is well known: Atkenson and Ohanian (2001) and, more recently, Stock and Watson (2007) have shown that the ratio between the mean squared error of any (simple or complex) forecast and the variance of the process has increased in the last twenty years.”
Comparing Alternative Predictors Based on Large-Panel Factor Models (2012, neutral): “The small differences in forecast accuracy between the SW and FHLR methods are hence due to a “non-core” characteristic of the procedures, rather than to the fact that the “tight factor structure” imposed by FHLR is not satisfied by the data, as claimed by Boivin and Ng (2005). In this context it is”
Forecasting with DSGE Models (2010, neutral): “…seems to work rather well when forecasting annual changes in private consumption, the GDP deflator, the consumption deflator, and nominal wages; see Atkeson and Ohanian (2001) for a discussion of the forecasting accuracy of annual inflation when using Phillips curves relative to a random walk on…”
Prior Selection for Vector Autoregressions (2015, neutral): “In fact Atkeson and Ohanian (2001) show that a random walk for the growth rate of the GDP deflator is a more appropriate näıve benchmark model.”
Expected Returns in Treasury Bonds (2015, positive): “At horizons of 8 through 16 quarters ahead, using (4) as a long term forecast of core CPI outperforms ARMA(1,1) model, is comparable with the annual random walk (Atkeson and Ohanian, 2001), and better than short-term surveys from Livingston.”
Optimal Inflation and the Identification of the Phillips Curve (2019, neutral): “…papers have pointed out that inflation can be approximated (and forecast) by statistical processes unrelated to the amount of slack in the economy (Atkeson and Ohanian 2001; Stock and Watson 2007, 2009; Cecchetti et al. 2017; Forbes, Kirkham, and Theodoridis 2017; Dotsey, Fujita, and Stark 2018).”