We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US and the euro area. Equipped with this model, we...

We test the usefulness of Machine Learning (ML) for sovereign risk assessment and pricing in the euro area along two important dimensions: i) their predictive accuracy compared to traditional econometrics methods and, ii) their assessment on what are the most important economic factors behind...