Are Weekly Inflation Forecasts Informative?

January 31, 2008
Issue 2008-05

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Abstract

Are weekly inflation forecasts informative? Although several central banks review and discuss monetary policy issues on a bi-weekly basis, there have been few attempts by analysts to construct systematic estimates of core inflation that supports such a decision-making schedule. The timeliness of news releases and macroeconomic revisions are recognized to be an important information source in real-time estimation. We incorporate real-time information from macroeconomic releases and revisions into our weekly updates of monthly Swiss core inflation using a common factor procedure. The weekly estimates for Swiss core inflation find that it is worthwhile to update the forecast at least twice a month.

Issue:
05
Pages:
43
JEL classification:
E52, E58
Keywords:
Inflation, Common Factors, Sequential Information Flow
Year:
2008

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Author(s)

  • Marlene Amstad

  • Andreas M. Fischer

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