Similar Search Results

Oil price pass-through into core inflation

Conitti, Cristina; Luciani, Matteo - 2017

We estimate the oil price pass-through into consumer prices both in the US and in the euro area. In particular, we disentangle the specific effect that an oil price change might have on each disaggregate price, from the effect on all prices that an oil price change might have since it affects...

Persistent link: https://www.econbiz.de/10011710173

What Should Core Inflation Exclude?

Detmeister, Alan K. - 2013

Consumer price inflation excluding food and energy often performs worse than other measures of underlying inflation in out-of-sample tests of predicting future inflation or tracking an ex-post measure of underlying trend inflation. Nonetheless, inflation excluding food and energy remains popular...

Persistent link: https://www.econbiz.de/10013089346

A unified framework for dimension reduction in forecasting

Barbarino, Alessandro; Bura, Efstathia - 2017

series forecasting models for economic variables. In these models, the reduction of the predictors and the modeling and … forecasting of the response y are carried out in two separate and independent phases. We introduce a potentially more attractive … of widely used macroeconomic series data with one or two sufficient reductions delivering similar forecasting performance …

Persistent link: https://www.econbiz.de/10011708094

An output gap measure for the euro area : exploiting country-level and cross-sectional data heterogeneity

Manuel, González-Astudillo, - 2018

This paper proposes a methodology to estimate the euro-area output gap by taking advantage of two types of data heterogeneity. On the one hand, the method uses information on real GDP, inflation, and the unemployment rate for each member state; on the other hand, it jointly considers this...

Persistent link: https://www.econbiz.de/10011932248

When can trend-cycle decompositions be trusted?

Gonzalez-Astudillo, Manuel; Roberts, John M. - 2016

In this paper, we examine the results of GDP trend-cycle decompositions from the estimation of bivariate unobserved components models that allow for correlated trend and cycle innovations. Three competing variables are considered in the bivariate setup along with GDP: the unemployment rate, the...

Persistent link: https://www.econbiz.de/10011579122

GDP trend-cycle decompositions using state-level data

Gonzalez-Astudillo, Manuel - 2017

This paper develops a method for decomposing GDP into trend and cycle exploiting the cross-sectional variation of state-level real GDP and unemployment rate data. The model assumes that there are common output and unemployment rate trend and cycle components, and that each state's output and...

Persistent link: https://www.econbiz.de/10011709323

The Role of Wages in Trend Inflation : Back to the 1980s?

Kiley, Michael T. - 2023

This paper examines whether the measurement of trend inflation can be improved by using wage data in a dynamic factor model of disaggregated prices and wages for the United States. The model features time-varying coefficients and stochastic volatility. An estimate of trend inflation is a...

Persistent link: https://www.econbiz.de/10014355008

Forecast combination for euro area inflation : a cure in times of crisis?

Hubrich, Kirstin; Skudelny, Frauke - 2016

provide more robust forecasts. We investigate this issue for forecasts from a range of short-term forecasting models. Our …

Persistent link: https://www.econbiz.de/10011579164

Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area

Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017

We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...

Persistent link: https://www.econbiz.de/10011709632

Common and Idiosyncratic Inflation

Luciani, Matteo - 2020

We use a dynamic factor model to disentangle changes in prices due to economy-wide (common) shocks, from changes in prices due to idiosyncratic shocks. Using 146 disaggregated individual price series from the U.S. PCE price index, we find that most of the fluctuations in core PCE prices observed...

Persistent link: https://www.econbiz.de/10012834051