distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are …. Our findings bear important implications for the ECB forecasting process and ultimately for its communication strategy. …

-run component of unemployment is key for such remarkable forecasting performance. …

We show that the New Keynesian Phillips Curve (NKPC) outperforms standard benchmarks in forecasting U.S. inflation once …) into several frequency bands and forecasting separately each frequency component of inflation. The largest statistically … significant forecasting gains are achieved with a model that forecasts the lowest frequency component of inflation (corresponding …

underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is … most pronounced at intermediate forecasting horizons. This suggests that inflation is projected to revert towards the … target too quickly. These results cannot be fully explained by the persistence embedded in the forecasting models nor by …