Cleveland Fed, Report: Improving Inflation Forecasts Using Robust Measures

“Evolution in the value of money – i.e., inflation, or the percentage change in the price level – is a central concern of monetary policy. Accordingly, policymakers at most central banks monitor a range of inflation measures to come to an informed assessment about the underlying inflationary pressures. Over the past decade, increased attention has been paid to trimmed-mean inflation estimators,1 as these provide signs of any broad-based inflationary pressures or the lack of them (see Mertens, 2016; Verbrugge, 2021). “

“Recent research has documented the usefulness of trimmed-mean estimators in improving inflation forecasts from a variety of time-series models.”