patterns in economic activity and inflation following oil price shocks in the euro area. In the 'normal regime', oil price … shocks are followed by sizeable and sustained macroeconomic fluctuations, with inflation and economic activity moving in the … same direction as the oil price. The responses of inflation expectations and wage growth point to second-round effects as a …

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 propose a novel measure of the anchoring of inflation expectations that …

forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor …We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density … models with stochastic volatility. The resulting model parameter estimates are highly efficient, which one hopes would …