Reserve Bank of New Zealand (RBNZ) is one of many inflation-targeting central banks. The effective conduct of monetary policy requires the capacity to make accurate short and medium term predictions about price inflation. The RBNZ's prediction system is very complex, requiring many iterations and significant input from human experts. This paper investigates the capability of Genetic Programming (GP) to predict price inflation over short and medium terms. By using un-preprocessed economic time series over small intervals, the experimental results demonstrate that GP can produce predictions of price inflation with accuracy comparable to the RBNZ's official prediction system, over both short and medium terms.