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 …

Is inflation persistence in the new EU Member States (NMS) comparable to that in the euro area countries? We argue that … show that due to frequent breaks in inflation time series in the NMS, parametric statistical measures assuming a constant …-varying mean leads to the reversal of this result and suggests similar or lower inflation persistence for the NMS compared to euro …

and food price shocks on a given set of countries. Secondly, we assess the importance of inflation linkages among … exist among regions. In addition, a considerable part of the observed headline inflation rises is attributable to foreign …

indicators in predicting euro area HICP inflation out-of-sample over the period first quarter 1999 till third quarter 2006 …

) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural … model, as well as the cointegrating properties of the estimated system. Overall, in the long run, wage and price inflation …

and food price shocks on a given set of countries. Secondly, we assess the importance of inflation linkages among … exist among regions. In addition, a considerable part of the observed headline inflation rises is attributable to foreign …

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long …

The period of extraordinary volatility in euro area headline inflation starting in 2007 raised the question whether … for HICP headline inflation and HICP excluding food and energy. We investigate how forecast accuracy of the combination … including the global financial crisis with its extraordinary volatility in inflation. Overall, we find that forecast combination …

indicators in predicting euro area HICP inflation out-of-sample over the period first quarter 1999 till third quarter 2006 …

In most OECD countries, we cannot reject up to three breaks in the mean of inflation: one break in the late 1960’s … phenomena. We also show that ignoring breaks in the mean of inflation clearly lead to overrate inflation persistence in standard … bi-variate models of inflation. The response of inflation to shocks in these models is markedly faster with breaks than …