  This paper examines the drivers of CPI inflation through the lens of a
simple, but computationally intensive machine learning technique. More
specifically, it predicts inflation across 20 advanced countries between 2000
and 2021, relying on 1,000 regression trees that are constructed based on six
key macroeconomic variables. This agnostic, purely data driven method delivers
(relatively) good outcome prediction performance. Out of sample root mean
square errors (RMSE) systematically beat even the in-sample benchmark
econometric models. Partial effects of inflation expectations on CPI outcomes
are also elicited in the paper. Overall, the results highlight the role of
expectations for inflation outcomes in advanced economies, even though their
importance appears to have declined somewhat during the last 10 years.
