This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … change associated with the start of EMU in 1999. The main findings are as follows. Steadystate inflation and inflation … can achieve lower inflation uncertainty by lowering the inflation rate …

parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term …This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … inflation rate are evaluated. The models including the shadow rate interaction term are found to outperform the benchmark ones …

parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term …This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … inflation rate are evaluated. The models including the shadow rate interaction term are found to outperform the benchmark ones …