We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to … 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 …

We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to … 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 …

We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic … quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by … distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are …

We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic … quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by … distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are …

persistence of U.S. inflation. We evaluate these features by comparing the out-of-sample forecast performance of two … errors depends on the level of inflation. The results of the comparison show that the parametric quantile forecasts are at … least as accurate as the semi-parametric QAR model, in particular for the core inflation measures. This leads us to conclude …

A central element of an inflation targeting approach to monetary policy is a proper measure of inflation. The … international evidence suggests the use of core inflation measures. In this paper we claim that core inflation should be measured as … the underlying trend of inflation that comes from nominal shocks that have no real effect in the long term. However, most …

-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 …