We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

-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 …

inflation series of the euro area CPI translates into the slow adjustment of euro area aggregate inflation. We first estimate a … dynamic factor model for 404 inflation sub-indices of the euro area CPI. This allows to decompose the dynamics of inflation … overall variance of the 404 disaggregate inflation series, is the main driver of aggregate dynamics. In addition, the …

This paper explores the role that inflation forecasts play in the uncertainty surrounding the estimated effects of … alternative monetary rules on unemployment dynamics in the euro area and the US. We use the inflation forecasts of 8 competing … relative to the different inflation models under two rules. The results suggest that model uncertainty can be a serious issue …

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 …

Over the last two centuries, the coherence between either narrow or broad money growth and inflation at zero has … that the fraction of inflation's long-run variation explained by long-run money growth has been very high and relatively … outbursts associated with World War I and the Great Inflation - but not World War II - whereas following the disinflation of the …

We use a Bayesian time-varying parameters structural VAR with stochastic volatility for GDP deflator inflation, real … Inflation was due, to a dominant extent, to large demand non-policy shocks, and to a lesser extent - especially in 1973 and 1979 … difference in terms of inflation and output growth outcomes; and (3) mechanically 'bringing the Monetary Policy Committee back in …

We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two … regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and … switches between inflation regimes. Thus money growth provides an important early warning indicator for risks to price …