Tuesday, September 23, 2014

Information transfer prediction aggregation

Here are a list of the predictions I've made with the information transfer model (ITM). This is mostly to help me keep track of what predictions I've made, but should also help keep me honest.

These are all inflation predictions for the US in a head to head with the Federal Reserve. The ITM says the same thing for all of them -- a slow downward drift in inflation over the medium term:


This has the same inflation prediction as above, but includes a comparison between the ITM and David Beckworth's claim that the Fed is targeting 1-2% PCE inflation


Here is the most recent update of a more complete version of the model that incorporates a guess for the path of monetary policy and predicts YoY inflation, RGDP growth, interest rates and unemployment:


Here is a prediction for Canada; I am hoping to test the hypothesis that a central bank can always achieve an inflation target it wants to (per e.g. Nick Rowe) versus a hypothesis that Canada will undershoot based on the ITM:


Japan is another interesting venue for testing the ITM as Japan is deep in the liquidity trap and things like deflationary monetary expansion become a possibility. This isn't so much of a prediction (I haven't projected the inflation rate for Japan) but rather following the model as new NGDP and currency data becomes available:

Update/correction 9/30/2014:

I have some older predictions on the site, however they happened before I figured out the relationship between the monetary base (including reserves) and the currency component. I'd consider them moot at this point.

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