, Australia and New Zealand) and others that have only targeted inflation at times (the US, Japan, the Euro Area and Switzerland … official policy rates and those implied by three types of Taylor rules in both inflation targeting countries (the UK, Canada …

January 1993 to December 2020 for five inflation-targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and … speed is twice as fast when deviations are small and the credibility of the central bank is higher. Third, inflation …

inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the …, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty …, thereby reducing the direct effect of interest rate changes on inflation. Since EPU shocks reflect, at least to some extent …

Moments (TVP-GMM) framework. Using monthly data until December 2022 for five inflation targeting countries (the UK, Canada …, Australia, New Zealand, Sweden) and five countries with alternative monetary regimes (the US, Japan, Denmark, the Euro Area …, Switzerland), we find that monetary policy has become more averse to inflation and more responsive to the output gap in both sets …

This paper applies a recently developed method (Inoue and Rossi, 2021) to estimate functional inflation expectations … on both inflation and output. In addition, threshold functional local projections indicate that the effects are nonlinear … and depend on central bank credibility. Further, inflation expectations shocks have similar effects to supply (demand …

This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … bound (the US, the UK and Canada) and in those with negative rates (Japan, the Euro Area and Switzerland). Using shadow … parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term …

estimating a smooth transition regression model with different inflation expectations regimes for five inflation targeting …) respectively over the period January 1993-August 2021. Both market and survey measures of inflation expectations are used as the … expectations of both consumers and producers are considered instead of expectations from consumer surveys only. Finally, inflation …

food market. Both are then included in structural VAR models to examine their effects on domestic food price inflation for … analysis is carried out to assess the effects on core inflation. The results suggest that both global food price mean and … volatility shocks have sizeable effects on food price inflation in all countries and persistent second-round effects on core …

This paper investigates the inflation effects of oil price expectations shocks constructed as functional shocks, i … out to investigate second-round effects on inflation through the inflation expectations channel. These are found to be … shock decomposition exercise show that inflation and inflation expectations are primarily driven by changes in the curvature …