We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation risk. We … estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk … indicators which focus on inflation uncertainty and do not distinguish between the risks of low or high future inflation outcomes …

monetary policy in the United States, in particular its interaction with the formation of inflation expectations and the … linkages between monetary policy, inflation expectations and the behaviour of CPI inflation. We use Livingston Survey data for … expected inflation, measured at a bi-annual frequency, actual inflation, unemployment and a nominal interest rate to estimate …

on the inflation process. …

exclusively on the anchoring of short- to medium-term inflation expectations (Part 2). Several measures show that this anchoring … is effective. Modern New Keynesian theory is an appropriate framework for analysing the impact that this anchoring of … expectations has on the determination of the short- to medium-term inflation rate. From this point of view, observed inflation in …

Recent studies emphasize that survey-based inflation risk measures are informative about future inflation and thus …-frequency financial market data have predictive power for the low-frequency survey-based inflation risk indicators observed at the end of …

This paper proposes an empirical investigation of the impact of oil price forecast errors on inflation forecast errors … for two different sets of recent forecasts data: the median of SPF inflation forecasts for the U.S. and the Central Bank … inflation forecasts for France. Mainly two salient points emerge from our results. First, there is a significant contribution of …

various univariate and multivariate estimates of the real IRG for predicting inflation, real activity and real credit growth …

growth. We investigate the consequences of both measurement uncertainty with respect to unobservable variables and …

The paper develops a model for forecasting inflation in France. As this model has to be integrated in the Eurosystem …

With the European economic integration, the understanding of inflation and inflationary pressures requires to analyse … both the national level and the whole Euro area level. This is true in particular for the inflation forecasts that are … forward a simple model of short-term developments (one year ahead) in inflation, as measured by the Harmonized Index of …