. It is suitable for describing characteristic features in inflation series as well as for medium-term forecasting. With … this model we decompose the inflation process into a slowly moving nonstationary component and dynamic short …-run fluctuations around it. We fit the model to the monthly euro area, UK and US inflation series. An important feature of our model is …

inflation should move one for one in the long run, and, hence, inflation should be predictable by money growth. The model fits … postwar U.S. data well, and beats common univariate benchmark models in forecasting inflation. Moreover, this evidence is … quite robust, and predictability is found also in the Great moderation period. The detected predictability of inflation by …

Declining inflation persistence has been documented in numerous studies. When such series are analyzed in a regression …

Disagreement in inflation expectations observed from survey data varies systematically over time in a way that reflects … the level and variance of current inflation. This paper offers a simple explanation for these facts based on asymmetries … in the forecasters’ costs of over- and under-predicting inflation. Our model implies (i) biased forecasts; (ii) positive …

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

simulator that yields the predictive distribution as a by-product. We apply the methods to postwar quarterly U.S. inflation and … future distribution of inflation over and above the own history of inflation, but not vice versa. This may be interpreted as … evidence against the new Keynesian model that implies Granger causality from inflation to GDP growth, provided GDP growth is a …