the Generalized Dynamic Factor model to develop a set of core inflation indicators that, combining national data with area …

assumptions on the functional correspondence between price inflation, inflation expectations and marginal costs. Expectations are … not assumed to be an unbiased predictor of actual inflation and instead derived from the European Commission’s Consumer … Survey data. The results suggest that expectations drive inflation with a lag of about 6 months, which casts further doubt on …

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 …

In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro … area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence … across the board. In particular we find euro area inflation persistence to be broadly in line with US inflation persistence …

monetary and credit aggregates are very often selected among the top predictors of inflation, with their predictive power … and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of …

Inflation in the euro area has been falling since mid-2013, turned negative at the end of 2014 and remained below … by means of sign restrictions, to inflation and economic activity. Shocks to oil supply do not tell the full story about … contractionary. A country analysis confirms that the negative effects of oil supply and monetary policy shocks on inflation was …

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 …

Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to de …-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the reaction of inflation …-linked swap (ILS) rates – a market-based measure of inflation expectations – to macroeconomic surprises in the euro area. Compared …