In this paper, we formulate a statistical model of inflation that combines data on survey expectations and the inflation target set by central banks.. Our model produces inflation forecasts that are aligned with survey expectations, thereby integrating the predictive power of the survey...

A new procedure for shock identification of macroeconomic forecasts based on factor analysis is proposed. The identification scheme relies on daily panels and on the recognition that macroeconomic releases exhibit a high level of clustering. A large number of data releases on a single day is of...