We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

This paper explores the role that inflation forecasts play in the uncertainty surrounding the estimated effects of … alternative monetary rules on unemployment dynamics in the euro area and the US. We use the inflation forecasts of 8 competing … relative to the different inflation models under two rules. The results suggest that model uncertainty can be a serious issue …

We investigate the drivers of the recent inflation in three currency areas: the United States, the euro area, and the … United Kingdom. To do so, we use a VAR set-up to examine the nature of the shocks that underpinned the recent inflation. We … shocks by solving the VAR backwards. We also use spatial modelling to investigate cross-country inflation spillovers. We find …

for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a …We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting …-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the …

for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a …We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting …-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the …