Giannone, Domenico; Lenza, Michele; Momferatou, Daphne; … - In: International Journal of Forecasting 30 (2014) 3, pp. 635-644
In this paper we construct a large Bayesian Vector Autoregressive model (BVAR) for the Euro area that captures the complex dynamic inter-relationships between the main components of the Harmonized Index of Consumer Prices (HICP) and their determinants. The model generates accurate conditional...