Core inflation and trend inflation

James H. Stock, Mark W. Watson

Research output: Contribution to journalArticlepeer-review

63 Scopus citations


This paper examines empirically whether the measurement of trend inflation can be improved by using disaggregated data on sectoral inflation to construct indexes akin to core inflation but with a time-varying distributed lags of weights, where the sectoral weight depends on the timevarying volatility and persistence of the sectoral inflation series and on the comovement among sectors. The modeling framework is a dynamic factor model with time-varying coefficients and stochastic volatility as in Del Negro and Otrok (2008), and is estimated using U.S. data on seventeen components of the personal consumption expenditure inflation index.

Original languageEnglish (US)
Pages (from-to)770-784
Number of pages15
JournalReview of Economics and Statistics
Issue number4
StatePublished - Oct 1 2016

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics


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