We jointly estimate the natural rate of interest, the natural rate of unemployment, expected inflation, and potential … output for the Euro area, the United States, Sweden, Australia, and the United Kingdom. Particular attention is paid to time …-variation in (i) the data-generation process for inflation, which we capture via a time-varying parameters specification for the …

predictive power of the output gap for inflation in the euro area. We find evidence of changes in trend growth around the … estimates in real time. Our measures help forecasting inflation over most of our evaluation sample (2001-2010) but fail …

higher wage flexibility would help ease the impact on real output at the expense of wider fluctuations in inflation. Finally …

area, Japan, and U.K.) a compression in the long-term yield spread exerts a powerful effect on both output growth and … inflation. Second, conditional on available estimates of the impact of the FED's and the Bank of England's asset purchase …

inflation and wage inflation) into trend and cyclical components. To do so, it relies on several reduced form relationships … reasonable forecasting performance in particular in terms of GDP and core inflation vis-a-vis a set of benchmarks …

after four years. Credit shocks have a positive effect on inflation and explain about 35% of the forecast error variance … inflation is insignificant and their share in explaining the forecast error variance negligible. For the US, regime 1 captures … periods of stable GDP growth, and low and stable inflation, combined with accelerating asset prices. We find procyclical …