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Measuring inflation anchoring and uncertainty : a US and Euro area comparison

Grishchenko, Olesya; Mouabbi, Sarah; Renne, Jean-Paul - 2017

We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US and the euro area. Equipped with this model, we...

Persistent link: https://www.econbiz.de/10011803186