Underlying Inflation Gauge (UIG)

The UIG captures sustained movements in inflation from information contained in a broad set of price, real activity, and financial data.

October 2018: The New York Fed Staff UIG Measures *
  • The UIG “full data set” measure decreased from a currently estimated 3.16% in August to 3.12% in September.
  • The “prices-only” measure decreased from 2.09% in August to 1.95% in September.
  • The twelve-month change in the September CPI was +2.3%, a 0.4 percentage point decrease from August.
-The UIG measures currently estimate trend CPI inflation to be approximately in the 1.9% to 3.1% range. Both measures have declined in recent months reflecting the softening of the CPI.

UIG Measures and 12-Month Change in the CPI
Source: Authors’ calculations, based on data accessed through Haver Analytics.

Note: The shaded areas indicate periods designated recessions by the National Bureau of Economic Research.

Download the October 2018 UIG
Note: The Excel file above contains the latest historical UIG data. Vintage data accompany past monthly releases. We are unable to share the code or data files used in our calculations. The analysis is based on a public methodology described in the research articles noted below. We also calculate a measure of underlying inflation for the personal consumption expenditures (PCE) deflator internally for staff analysis, but we have no plans to share it with the public.

Data Series
The “prices-only” underlying inflation gauge (UIG) is derived from a large number of disaggregated price series in the consumer price index (CPI), while the “full data set” measure incorporates additional macroeconomic and financial variables. For a list of the series employed, see the data appendix.

* October 2018 Production Note
As we reported previously, technical problems prevented us from publishing the UIG in August and September. A number of data series that were inputs to the model had been discontinued and those changes were not properly detected by the procedure used to pull in the data. We have resolved these issues, eliminating fifteen data series—seven price series and eight financial series—and changing two series from monthly averages to end-of-month values. With those changes, we are now resuming our monthly publication with the October report. The methodology to compute the UIG measures has not been modified but the data set was updated to encompass the replacement or removal of the discontinued data series, and the UIG measures have been recomputed accordingly. The data appendix provides the updated list of the series used in calculating the UIG. The modification of the data set has resulted in discrepancies between the revised UIG measures and those previously published, as illustrated in two charts. This technical revision has not affected our overall assessment of the underlying inflation trend from the model.

Related Reading
For an introduction, check out Amstad, Potter, and Rich, “Measuring Trend Inflation with the Underlying Inflation Gauge,” Liberty Street Economics, May 22, 2017.

For a more detailed account of our trend inflation measure, see Amstad, Potter, and Rich, “The New York Fed Staff Underlying Inflation Gauge (UIG),” Federal Reserve Bank of New York Economic Policy Review (September 2017).

An in-depth discussion of methodology is provided in Amstad, Potter, and Rich, “The New York Fed Staff Underlying Inflation Gauge (UIG),” Federal Reserve Bank of New York Staff Reports, no. 672 (April 2014) and Amstad and Potter, “Real Time Underlying Inflation Gauge for Monetary Policymakers,” Federal Reserve Bank of New York Staff Reports, no. 420 (December 2009).

2018 Releases

October 11
November 14
December 12

Note: We generally update and publish the UIG at 2:30 p.m. on CPI release dates. If that date falls during a blackout period surrounding a Federal Open Market Committee meeting, we will publish at 10 a.m. on the first morning following the blackout.

How to cite this report: Federal Reserve Bank of New York, Underlying Inflation Gauge, https://www.newyorkfed.org/research/policy/underlying-inflation-gauge.
About the UIG
We share two monthly estimates of trend inflation. The first derives a measure from a large number of price series in the consumer price index (CPI) as well as macroeconomic and financial variables; the second employs the prices-only data set. For detailed information about our methodology, see the report and the references listed there.
The New York Fed Staff UIG measures are not official estimates of the Federal Reserve Bank of New York, its president, the Federal Reserve System, or the Federal Open Market Committee.