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Understanding and forecasting aggregate and disaggregate price dynamics

Bermingham, Colin; D’Agostino, Antonello - 2011

The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead construct forecasts of its components and then sum these component forecasts. Notwithstanding some underlying theoretical results, it is generally accepted that forecast aggregation is...

Persistent link: https://www.econbiz.de/10011605411

Understanding inflation persistence: a comparison of different models

Dixon, Huw; Kara, Engin - 2006

This paper adopts the Impulse-Response methodology to understand inflation persistence. It has often been argued that existing models of pricing fail to explain the persistence that we observe. We adopt a common general framework which allows for an explicit modelling of the distribution of...

Persistent link: https://www.econbiz.de/10011604718

The first twenty years of the European Central Bank: Monetary policy

Hartmann, Philipp; Smets, Frank - 2018

On 1 June 2018 the ECB celebrated its 20th anniversary. This paper provides a comprehensive view of the ECB's monetary policy over these two decades. The first section provides a chronological account of the macroeconomic and monetary policy developments in the euro area since the adoption of...

Persistent link: https://www.econbiz.de/10012142063

Forecasting inflation and tracking monetary policy in the euro area: does national information help?

Cristadoro, Riccardo; Venditti, Fabrizio; Saporito, Giuseppe - 2008

The ECB objective is set in terms of year on year growth rate of the Euro area HICP. Nonetheless, a good deal of attention is given to national data by market analysts when they try to anticipate monetary policy moves. In this paper we use the Generalized Dynamic Factor model to develop a set of...

Persistent link: https://www.econbiz.de/10011604946

Macroeconomic forecasting and structural change

Gambetti, Luca; D’Agostino, Antonello; Giannone, Domenico - 2010

The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...

Persistent link: https://www.econbiz.de/10011605213

Nowcasting inflation using high frequency data

Modugno, Michele - 2011

This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than monthly. The nowcasting literature has been focused on GDP, typically using monthly indicators in order to produce an accurate estimate for the current and next quarter. This paper...

Persistent link: https://www.econbiz.de/10011605370

Advanced economy inflation: the role of global factors

Mikolajun, Irena; Lodge, David - 2016

inflation. Moreover, the results suggest that the importance of global inflation in forecasting domestic inflation has its roots …

Persistent link: https://www.econbiz.de/10011605993

Forecasting euro area inflation using targeted predictors: is money coming back?

Falagiarda, Matteo; Sousa, João - 2017

relative to other predictors generally improving in the post-2012 period. An out-of-sample forecasting exercise indicates that …, when monetary and credit aggregates are loaded directly in the forecasting equation, the additional gains over the … and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of …

Persistent link: https://www.econbiz.de/10011606060