Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central … bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence … allowing for an unobserved time-varying inflation target. Unobserved components are identified using Kalman filtering and …

inflation and wage inflation) into trend and cyclical components. To do so, it relies on several reduced form relationships … reasonable forecasting performance in particular in terms of GDP and core inflation vis-a-vis a set of benchmarks …

models to predict inflation and GDP growth, in the three dimensions of accuracy, uncertainty and stability by using the real … models of inflation forecasts and output growth, reflecting the relative ability each model has over different sub …

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …

-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …

This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting inflation … inflation with the ability of quantile regression to model flexibly the whole distribution of inflation. In order to make our …-based indicators for the prediction of the conditional distribution of inflation in the euro area, both in the short and longer run …

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long …

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost … growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation …. There is, however, some support in favour of the (reduced form) AWM inflation equation. It is the only model that …

This paper studies factors behind inflation dynamics in the euro area, the UK and the US. It introduces a factor … inflation in the three economies. The FAVAR model framework is also applied to study the effects on inflation subcomponents in … the more recent past. The FAVAR models suggest that headline inflation in the three economies has reacted in a relatively …