Supersedes Working Paper 15-16 - Do Phillips Curves Conditionally Help to Forecast Inflation?

The authors find that forecasts from their Phillips curve models tend to be unconditionally inferior to those from their univariate forecasting models. Significantly, the authors also find conditional inferiority, with some exceptions. When the authors do find improvement, it is asymmetric — Phillips curve forecasts tend to be more accurate when the economy is weak and less accurate when the economy is strong. Any improvement they find, however, vanished over the post-1984 period.