What is the True Inflation Rate? A Review of Existing Measures and Possible New Metrics

Author

John Lennon

Date of Award

Spring 2018

Degree Name

Bachelor of Science (BS)

Advisor(s)

Andrey Ermolov

Abstract

I use traded prices of commodities futures contracts to predict US inflation. My approach allows me to construct a real time inflation forecast. Adding cattle feeder and lean hog contracts to a model proposed in extant literature showed their importance in predicting inflation. I achieved an R-squared of 62% in predicting 1 year forward inflation, compared to an R-squared of 54% in the extant literature.

Recommended Citation

Lennon, John, "What is the True Inflation Rate? A Review of Existing Measures and Possible New Metrics" (2018). Gabelli School of Business Honors Thesis Collection. 112.
https://research.library.fordham.edu/gabelli_thesis/112