-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds … extensions improve the density forecasts of real GDP and inflation and their joint forecasts up to an eight-quarter horizon. We … find that adding financial frictions leads to a deterioration in the forecasts, with the exception of longer-term inflation …

Much research studies US inflation history with a trend-cycle model with unobserved components. A key feature of this … model is that the trend may be viewed as the Fed's evolving inflation target or long-horizon expected inflation. We provide … a new way to measure the slowly evolving trend and the cycle (or inflation gap), based on forecasts from the Survey of …

on the PPI seems to be useful to improve forecasts of CPI inflation. In particular, CPI inflation responds significantly …

inflation rates of Turkey and propose a new weighting scheme, the time-varying simple weighting method. Our guiding principle … prospective credibility of the inflation-targeting regime of the central bank of the Republic of Turkey …

We construct a Bayesian vector autoregressive model with three layers of information: the key drivers of inflation … information is more crucial for accurately forecasting euro area inflation. Our empirical analysis reveals the importance of … including the key drivers of inflation and taking into account the multi-country dimension of the euro area. The results show …

Forecasting inflation is an important and challenging task. In this paper we assume that the core inflation components … evolve as a multivariate local level process. This model, which is theoretically attractive for modelling inflation dynamics … estimates, as we show in a Monte Carlo exercise. In an application to euro-area inflation we find that our forecasts compare …

This paper analyzes the efficacy of SARIMA models in view of forecasting the inflation rates in the Turkish economy. We … perform rigorous tests on the stationarity and show that seasonality in the Turkish inflation rate is both deterministic and … stochastic in nature, with the latter form dominating the inflation process. Further, we provide the first study that tests for …