List of econometric models

Ten models of trend inflation

They include a set of Phillips curvetype of trend inflation models, a set of time-varying parametersvector autoregressive (TVP-VARs) models, and a set of state-spacemodels.

Phillips curve models (“thick modelling approach”):

A set ofmodels (for a total of about 200,000 models) which differaccording to several dimensions (different non-linearities, modelsassuming unanchored long-run inflation expectations, differentmeasures of slack, different lag structure, etc.). The output of the“thick modelling approach” is a distribution of point forecasts usedto evaluate the risks around the baseline forecast.

The main Phillips curve model

(as in Detmeister et al. (2014)) toforecast core PCE price inflation.

A model of an alternative “core inflation” measure

to identifyidiosyncratic shocks on monthly PCE (and CPI) price inflationreadings (as in Luciani (2020)). This model complements theevidence of the Dallas FED Trimmed mean and provides usefulinformation about the near-term time-varying mean of core PCEprice inflation.

A model of common long-run inflation expectations

(as in Ahnand Fulton (2020)). The model can be used to extract a singlesignal from all measures of inflation expectations. This evidenceprovides a base (together with the models of trend inflation) to setand revise the level of underlying inflation.

A mix-frequency state-space model of common wages.

Theoutput is a synthetic indicator of the common factor acrossmeasures of wage growth.

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Trezzi consulting is a Swiss registered firm that offers independent economic and statistical consulting services. Trezzi consulting does not have access to any classified information of any central bank, including the Federal Reserve. All econometric and statistical models included in the packages are either developed in-house or they are based on publicly available documents such as papers and notes.