The objective of the current study is to empirically determine whether certain macroeconomic variables play a significant role in influencing inflation in the United States, the United Kingdom, and Canada, and also to forecast inflation. The study considers the unemployment rate, money supply, interest rate, gross domestic product, and stock prices on the basis of economic theory. In a vector auto regression (VAR) framework, the empirical estimation is carried out applying cointegration test and the Vector Error Correction Model (VECM). Furthermore, the impact of these macroeconomic variables on inflation is explained using Impulse Response Functions (IRF). The empirical results show the long-term and short-term relationship among the variables. The results are consistent with the Phillips curve.