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We conduct a simulated real\u2010time out\u2010of\u2010sample exercise using a time\u2010varying coefficients vector autoregression (VAR) with stochastic volatility to predict the inflation rate, unemployment rate and interest rate in the USA. The model generates accurate predictions for the three variables. In particular, the forecasts of inflation are much more accurate than those obtained with any other competing model, including fixed coefficients VARs, time\u2010varying autoregressions and the na\u00efve random walk model. The results hold true also after the mid 1980s, a period in which forecasting inflation was particularly hard. 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