breaks in the performance of most simple Phillips curves. Euro area inflation was particularly hard to forecast in the run … in a forecaster's toolkit. We base these conclusions on an extensive forecast evaluation over 1994 - 2018, an … practitioners, we find that: (i) the key type of time variation to consider is an inflation trend; (ii) a simple filter-based output …

and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of … monetary and credit aggregates are very often selected among the top predictors of inflation, with their predictive power … relative to other predictors generally improving in the post-2012 period. An out-of-sample forecasting exercise indicates that …

rationality using techniques widely employed in the applied literature of forecast evaluation. In general, the results are … policy input. Projections of GDP - up to one year - and inflation are optimal - in the case of inflation they are also …

asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the … Factor Models ; Multivariate GARCH ; Conditional Covariance ; Inflation Forecasting ; Volatility Forecasting …We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The …

theoretical predictions and simulations are corroborated when forecasting aggregate US inflation pre- and post 1984 using … disaggregate sectoral data. - Aggregate forecasts ; disaggregate information ; forecast combination ; inflation …To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those …

improves the out-of-sample forecast accuracy of the model. Furthermore, we evaluate the case for introducing a discount factor …

similar to the nowcast and forecast errors made during the financial crisis and following recovery seems to produce the best …

there is a clear trade-off between storytelling and forecast accuracy. The PPP model offers little economic insights, but … better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …

In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or … horizons, the aggregate (consensus) SPF forecast performs best. …

reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …