, taking as a benchmark the forecasting errors generated by the quarterly model used by the Bank of Italy in the 1990s. We … Kalman filter approach, in order to improve the forecasts. Then we look at the sample correlations among forecasting errors …

; in the second, the central bank has to learn the private sector inflation forecasting rule. With imperfect knowledge …

This paper models an inflation forecast density framework that closely resembles actual policy makers behaviour … policy makers prior information about these parameters with a standard parametric density estimation technique using Bayesian … theory. The combination crucially hinges on an information-theoretic utility function gains of the policy maker from …

(CNB), how this policy predictability has evolved over time, and whether the change in the central bank’s forecasting … money market. On the one hand, this may be connected with a change in the CNB’s communication of the forecast, including … convergence or divergence between the central bank’s forecast-consistent interest rate trajectory and market forward rates. We …