Forecasting inflation

James H. Stock, Mark W. Watson

Research output: Contribution to journalArticlepeer-review

782 Scopus citations


This paper investigates forecasts of US inflation at the 12-month horizon. The starting point is the conventional unemployment rate Phillips curve, which is examined in a simulated out-of-sample forecasting framework. Inflation forecasts produced by the Phillips curve generally have been more accurate than forecasts based on other macroeco-nomic variables, including interest rates, money and commodity prices. These forecasts can however be improved upon using a generalized Phillips curve based on measures of real aggregate activity other than unemployment, especially a new index of aggregate activity based on 168 economic indicators.

Original languageEnglish (US)
Pages (from-to)293-335
Number of pages43
JournalJournal of Monetary Economics
Issue number2
StatePublished - Oct 1999

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


  • Forecast combination
  • Phillips curve


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