This paper studies factors behind inflation dynamics in the euro area, the UK and the US. It introduces a factor … inflation in the three economies. The FAVAR model framework is also applied to study the effects on inflation subcomponents in … the more recent past. The FAVAR models suggest that headline inflation in the three economies has reacted in a relatively …

linked to the monetary policy regime. Before and after the "Great Inflation", nominal wages moved in the same direction as … the (required) adjustment of real wages, and in the opposite direction of the price response. During the "Great Inflation … increasing inflation volatility. Using a standard DSGE model, we show that these stylized facts, in particular the estimated …

linked to the monetary policy regime. Before and after the "Great Inflation", nominal wages moved in the same direction as … the (required) adjustment of real wages, and in the opposite direction of the price response. During the "Great Inflation … increasing inflation volatility. Using a standard DSGE model, we show that these stylized facts, in particular the estimated …

are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features … of the model, we evaluate the accuracy of real-time inflation forecasts from different model specifications. The version … that forecasts inflation best implies that after the 2011 sovereign debt crisis the output gap in the euro area has been …

-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …

We develop a theoretical model that features a business cycle-dependent relation between output, price inflation and … inflation expectations, augmenting the model by Svensson (1997) with a nonlinear Phillips curve that reflects the rationale … pronounced convex relationship between inflation and the output gap, meaning that the co-efficient in the Phillips curve on the …

professional forecasters from four major European economies. Our estimates imply that inflation expectations in France, Germany and …

period of 1994-2008. Except for short-term forecasts of inflation and interest rates, it is as good as or clearly outperforms …