Figure 1: U.S. Consumer Inflation Measures
Q4/Q4 percent change
Year | CPI | PCE price |
---|---|---|
1947 | 8.86 | 7.04 |
1948 | 4.53 | 3.39 |
1949 | -2.12 | -2.04 |
1950 | 4.37 | 4.24 |
1951 | 6.57 | 5.52 |
1952 | 1.44 | 1.24 |
1953 | 0.72 | 1.52 |
1954 | -0.5 | -0.06 |
1955 | 0.37 | 1.11 |
1956 | 2.58 | 2.68 |
1957 | 3.09 | 2.88 |
1958 | 1.91 | 1.46 |
1959 | 1.47 | 2.25 |
1960 | 1.4 | 1.49 |
1961 | 0.71 | 0.66 |
1962 | 1.3 | 1.36 |
1963 | 1.39 | 1.28 |
1964 | 1.27 | 1.39 |
1965 | 1.78 | 1.51 |
1966 | 3.57 | 3.18 |
1967 | 2.99 | 2.57 |
1968 | 4.63 | 4.29 |
1969 | 5.83 | 4.73 |
1970 | 5.6 | 4.62 |
1971 | 3.54 | 3.75 |
1972 | 3.33 | 3.37 |
1973 | 8.42 | 7.18 |
1974 | 12.05 | 11.51 |
1975 | 7.38 | 6.84 |
1976 | 5.19 | 5.13 |
1977 | 6.59 | 6.6 |
1978 | 8.93 | 7.58 |
1979 | 12.64 | 9.83 |
1980 | 12.54 | 10.64 |
1981 | 9.58 | 7.63 |
1982 | 4.44 | 4.99 |
1983 | 3.23 | 3.82 |
1984 | 4.15 | 3.49 |
1985 | 3.51 | 3.57 |
1986 | 1.35 | 1.71 |
1987 | 4.41 | 3.75 |
1988 | 4.31 | 4.18 |
1989 | 4.63 | 3.85 |
1990 | 6.28 | 4.98 |
1991 | 2.97 | 2.44 |
1992 | 3.12 | 2.65 |
1993 | 2.77 | 2.3 |
1994 | 2.6 | 2.11 |
1995 | 2.63 | 1.9 |
1996 | 3.23 | 2.35 |
1997 | 1.89 | 1.26 |
1998 | 1.53 | 0.73 |
1999 | 2.62 | 1.93 |
2000 | 3.44 | 2.49 |
2001 | 1.87 | 1.29 |
2002 | 2.25 | 1.93 |
2003 | 2 | 1.82 |
2004 | 3.38 | 2.87 |
2005 | 3.67 | 3.1 |
2006 | 1.97 | 1.78 |
2007 | 4.03 | 3.34 |
2008 | 1.6 | 1.47 |
2009 | 1.49 | 1.2 |
2010 | 1.23 | 1.29 |
2011 | 3.34 | 2.66 |
2012 | 1.91 | 1.64 |
2013 | 1.23 | 1.04 |
2014 | 1.2 | 1.12 |
Figure 2: Historical Inflation Regime Probabilities Estimated using the CPI
Probability of HIgh-Variance, HIgh-Persistence State
Year | One sided probabilities | Two sided probabilities |
---|---|---|
1948 | 100.000 | 100.000 |
1949 | 100.000 | 100.000 |
1950 | 94.070 | 99.750 |
1951 | 100.000 | 100.000 |
1952 | 84.170 | 97.630 |
1953 | 84.590 | 97.780 |
1954 | 99.040 | 97.940 |
1955 | 97.770 | 84.550 |
1956 | 81.010 | 41.130 |
1957 | 64.520 | 25.250 |
1958 | 37.300 | 16.900 |
1959 | 24.180 | 14.660 |
1960 | 16.050 | 14.530 |
1961 | 25.850 | 16.300 |
1962 | 19.230 | 16.090 |
1963 | 13.190 | 17.290 |
1964 | 10.930 | 20.810 |
1965 | 6.190 | 26.720 |
1966 | 8.800 | 42.270 |
1967 | 6.050 | 59.150 |
1968 | 44.170 | 95.260 |
1969 | 99.900 | 100.000 |
1970 | 99.980 | 100.000 |
1971 | 92.490 | 99.240 |
1972 | 83.060 | 99.200 |
1973 | 100.000 | 100.000 |
1974 | 100.000 | 100.000 |
1975 | 100.000 | 100.000 |
1976 | 99.930 | 100.000 |
1977 | 100.000 | 100.000 |
1978 | 100.000 | 100.000 |
1979 | 100.000 | 100.000 |
1980 | 100.000 | 100.000 |
1981 | 100.000 | 100.000 |
1982 | 96.480 | 98.970 |
1983 | 84.870 | 97.540 |
1984 | 92.380 | 97.580 |
1985 | 85.420 | 96.240 |
1986 | 53.990 | 95.700 |
1987 | 81.520 | 98.830 |
1988 | 92.110 | 99.620 |
1989 | 98.260 | 99.930 |
1990 | 100.000 | 99.990 |
1991 | 85.660 | 42.440 |
1992 | 71.630 | 20.480 |
1993 | 43.650 | 7.680 |
1994 | 23.110 | 3.240 |
1995 | 10.930 | 1.550 |
1996 | 9.190 | 1.020 |
1997 | 4.120 | 0.530 |
1998 | 3.870 | 0.480 |
1999 | 2.870 | 0.450 |
2000 | 5.670 | 0.600 |
2001 | 3.190 | 0.360 |
2002 | 2.260 | 0.330 |
2003 | 2.180 | 0.490 |
2004 | 3.940 | 0.970 |
2005 | 9.520 | 1.390 |
2006 | 4.780 | 0.990 |
2007 | 11.740 | 1.200 |
2008 | 3.330 | 0.460 |
2009 | 3.020 | 0.520 |
2010 | 4.140 | 0.740 |
2011 | 4.250 | 0.880 |
2012 | 2.030 | 1.130 |
2013 | 3.920 | 2.920 |
2014 | 5.240 | 5.240 |
Figure 3: Historical Inflation Regime Probabilities Estimated using the PCE price index
Probability of HIgh-Variance, HIgh-Persistence State
Year | One sided probabilities | Two sided probabilities |
---|---|---|
1949 | 100.000 | 100.000 |
1950 | 100.000 | 100.000 |
1951 | 98.990 | 99.960 |
1952 | 100.000 | 100.000 |
1953 | 82.460 | 61.810 |
1954 | 55.630 | 49.650 |
1955 | 85.260 | 46.590 |
1956 | 66.100 | 25.030 |
1957 | 52.200 | 15.030 |
1958 | 46.560 | 8.790 |
1959 | 20.800 | 3.320 |
1960 | 8.530 | 1.740 |
1961 | 3.670 | 1.520 |
1962 | 7.930 | 2.430 |
1963 | 4.580 | 2.590 |
1964 | 3.380 | 3.940 |
1965 | 2.680 | 7.470 |
1966 | 2.210 | 16.690 |
1967 | 7.380 | 42.580 |
1968 | 5.380 | 61.140 |
1969 | 80.380 | 99.140 |
1970 | 99.960 | 100.000 |
1971 | 99.980 | 100.000 |
1972 | 99.230 | 99.960 |
1973 | 97.320 | 99.900 |
1974 | 100.000 | 100.000 |
1975 | 100.000 | 100.000 |
1976 | 100.000 | 100.000 |
1977 | 100.000 | 100.000 |
1978 | 100.000 | 100.000 |
1979 | 100.000 | 100.000 |
1980 | 100.000 | 100.000 |
1981 | 100.000 | 100.000 |
1982 | 100.000 | 100.000 |
1983 | 100.000 | 100.000 |
1984 | 99.080 | 99.940 |
1985 | 97.790 | 99.790 |
1986 | 98.030 | 99.470 |
1987 | 65.210 | 97.910 |
1988 | 92.840 | 99.720 |
1989 | 99.690 | 99.990 |
1990 | 99.460 | 99.980 |
1991 | 100.000 | 99.980 |
1992 | 79.040 | 32.800 |
1993 | 63.460 | 15.120 |
1994 | 32.110 | 4.840 |
1995 | 14.580 | 1.800 |
1996 | 5.670 | 0.750 |
1997 | 3.650 | 0.520 |
1998 | 2.680 | 0.500 |
1999 | 6.080 | 0.700 |
2000 | 2.960 | 0.380 |
2001 | 3.060 | 0.360 |
2002 | 2.480 | 0.300 |
2003 | 1.770 | 0.280 |
2004 | 1.670 | 0.460 |
2005 | 3.800 | 1.070 |
2006 | 9.610 | 1.510 |
2007 | 4.170 | 1.040 |
2008 | 11.830 | 1.330 |
2009 | 3.670 | 0.500 |
2010 | 3.190 | 0.460 |
2011 | 2.780 | 0.470 |
2012 | 3.210 | 0.610 |
2013 | 1.870 | 0.780 |
2014 | 3.130 | 1.860 |
Figure 4: Long Run (Next 10-Year Average) CPI Inflation Forecasts
Q4/Q4 Percent Change
Year | SPF, 4th qtr | Markov Switching Model |
---|---|---|
1979 | 6.9 | 7.52 |
1980 | 8.25 | 7.87 |
1981 | 7.05 | 7.33 |
1982 | 5.65 | 5.57 |
1983 | 5.2 | 4.90 |
1984 | 5.2 | 4.59 |
1985 | 4.55 | 4.03 |
1986 | 4 | 2.73 |
1987 | 4.5 | 4.00 |
1988 | 4.35 | 3.16 |
1989 | 4.2 | 4.30 |
1990 | 4.15 | 4.13 |
1991 | 4 | 3.25 |
1992 | 3.6 | 3.23 |
1993 | 3.45 | 2.55 |
1994 | 3.5 | 2.43 |
1995 | 3 | 2.28 |
1996 | 3 | 2.30 |
1997 | 2.65 | 2.22 |
1998 | 2.5 | 2.24 |
1999 | 2.5 | 2.26 |
2000 | 2.5 | 2.26 |
2001 | 2.55 | 2.22 |
2002 | 2.45 | 2.25 |
2003 | 2.5 | 2.24 |
2004 | 2.5 | 2.27 |
2005 | 2.5 | 2.26 |
2006 | 2.5 | 2.21 |
2007 | 2.4 | 2.34 |
2008 | 2.5 | 2.19 |
2009 | 2.2627 | 2.25 |
2010 | 2.2 | 2.24 |
2011 | 2.5 | 2.29 |
2012 | 2.3 | 2.22 |
2013 | 2.3 | 2.23 |
2014 | 2.2 | 2.24 |
RMSE
Period | SPF: | Model: |
---|---|---|
1979-2004: | 1.4 | 1.2 |
1990-2004: | 0.7 | 0.5 |
Figure 5: 1-Year Ahead CPI Inflation Forecasts
Q4/Q4 Percent Change
Year | SPF, 4th qtr | Board Staff, December | Markov Switching Model |
---|---|---|---|
1981 | 7.7 | 7.2 | 8.2 |
1982 | 5.5 | 5.1 | 4.4 |
1983 | 5.1 | 5.3 | 5.0 |
1984 | 4.4 | 4.3 | 4.5 |
1985 | 3.8 | 4.0 | 3.9 |
1986 | 3.6 | 3.7 | 2.0 |
1987 | 4.4 | 4.4 | 5.7 |
1988 | 4.9 | 4.6 | 2.3 |
1989 | 4.2 | 4.1 | 6.1 |
1990 | 4.5 | 4.1 | 4.6 |
1991 | 3.5 | 3.5 | 2.7 |
1992 | 3.2 | 2.7 | 3.6 |
1993 | 3.0 | 3.1 | 2.3 |
1994 | 3.4 | 3.0 | 2.5 |
1995 | 2.9 | 3.0 | 2.3 |
1996 | 3.0 | 2.7 | 2.4 |
1997 | 2.6 | 1.8 | 2.2 |
1998 | 2.3 | 2.3 | 2.2 |
1999 | 2.5 | 2.3 | 2.3 |
2000 | 2.7 | 2.1 | 2.3 |
2001 | 2.1 | 1.9 | 2.2 |
2002 | 2.2 | 1.7 | 2.3 |
2003 | 2.1 | 1.0 | 2.2 |
2004 | 2.3 | 1.4 | 2.4 |
2005 | 2.4 | 2.3 | 2.3 |
2006 | 2.6 | 3.1 | 2.2 |
2007 | 2.4 | 2.2 | 2.6 |
2008 | 1.8 | 0.7 | 2.1 |
2009 | 1.6 | 1.6 | 2.2 |
2010 | 1.6 | 2.2 | |
2011 | 2.0 | 2.4 | |
2012 | 2.2 | 2.2 | |
2013 | 2.0 | 2.2 | |
2014 | 1.9 | 2.2 |
RMSE
Period | SPF: | Model: |
---|---|---|
1982-2014: | 1.2 | 1.3 |
1990-2014: | 1.0 | 0.9 |
1999-2010
Statistic | SPF: | Board Staff: | Model: |
---|---|---|---|
RMSE | 0.8 | 1.1 | 0.9 |
15th percentile: | -0.8 | -0.4 | -1.0 |
50th percentile: | -0.0 | 0.3 | -0.1 |
85th percentile: | 1.4 | 2.3 | 1.3 |
Figure 6: 1-Year Ahead PCE Price Inflation Forecasts
Q4/Q4 Percent Change
Year | PCE Price Inflation, 1 year ahead | Board Staff/SEP, December/Q4 | Markov Switching Model |
---|---|---|---|
1997 | 0.73 | 1.63 | 1.79 |
1998 | 1.93 | 1.71 | 1.78 |
1999 | 2.49 | 1.85 | 1.88 |
2000 | 1.29 | 1.72 | 1.87 |
2001 | 1.93 | 1.36 | 1.79 |
2002 | 1.82 | 1.31 | 1.86 |
2003 | 2.87 | 0.85 | 1.84 |
2004 | 3.1 | 1.22 | 1.92 |
2005 | 1.78 | 2.13 | 1.92 |
2006 | 3.34 | 2.75 | 1.81 |
2007 | 1.47 | 2.01 | 2.09 |
2008 | 1.2 | 0.73 | 1.75 |
2009 | 1.29 | 1.34 | 1.83 |
2010 | 2.66 | 1.40 | 1.82 |
2011 | 1.64 | 1.70 | 1.91 |
2012 | 1.04 | 1.65 | 1.81 |
2013 | 1.12 | 1.50 | 1.81 |
2014 | 1.30 | 1.82 |
1999-2014
Statistic | Board Staff: | Model: | Random Walk: |
---|---|---|---|
RMSE: | 0.9 | 0.7 | 1.0 |
15th percentile: | -0.5 | -0.6 | -1.2 |
50th percentile: | 0.3 | -0.1 | 0.1 |
85th percentile: | 1.5 | 1.1 | 1.3 |
Figure 7: 2-Year Ahead PCE Price Inflation Forecasts
Q4/Q4 Percent Change
Year | PCE Price Inflation, 2 years ahead | Board Staff/SEP, December/Q4 | Markov Switching Model |
---|---|---|---|
1997 | 1.93 | 2.01 | 1.83 |
1998 | 2.49 | 1.70 | 1.8285 |
1999 | 1.29 | 2.13 | 1.8597 |
2000 | 1.93 | 1.92 | 1.8484 |
2001 | 1.82 | 1.24 | 1.8292 |
2002 | 2.87 | 1.35 | 1.8515 |
2003 | 3.1 | 1.03 | 1.841 |
2004 | 1.78 | 1.34 | 1.8554 |
2005 | 3.34 | 1.70 | 1.8686 |
2006 | 1.47 | 2.09 | 1.8248 |
2007 | 1.2 | 1.74 | 1.9096 |
2008 | 1.29 | 1.02 | 1.8087 |
2009 | 2.66 | 1.18 | 1.8422 |
2010 | 1.64 | 1.45 | 1.8463 |
2011 | 1.04 | 1.75 | 1.8612 |
2012 | 1.12 | 1.75 | 1.8282 |
2013 | 1.75 | 1.8373 | |
2014 | 1.85 | 1.8466 |
1999-2014
Statistic | Board Staff: | Model: | Random Walk: |
---|---|---|---|
RMSE: | 1.0 | 0.7 | 1.1 |
15th percentile: | -0.7 | -0.7 | -1.2 |
50th percentile: | 0.2 | -0.0 | -0.1 |
85th percentile: | 1.6 | 1.1 | 1.4 |