Research Discussion Paper – RDP 2003-12 The Real-Time Forecasting Performance of Phillips Curves

Contents

• Introduction
• Recent Literature
• Methodology
• Results
• Why Do Our Phillips Curves Forecast Poorly?
• Conclusions
• Appendix A: Construction of Real-time Output Gaps and Phillips Curves
• Appendix B: Selection of Real-time Output-gap Equations
• Appendix C: Implications of Our Forecast Combination Results for Model Specification
• Appendix D: Data Sources and Definitions
• References

The authors are grateful to David Gruen, Simon van Norden, Athanasios Orphanides and colleagues at the Reserve Bank, especially Alex Heath and Anthony Richards, for helpful comments. Responsibility for any errors rests with the authors. The views expressed in this paper are those of the authors and should not be attributed to the Reserve Bank.