We jointly estimate the natural rate of interest, the natural rate of unemployment, expected inflation, and potential …-variation in (i) the data-generation process for inflation, which we capture via a time-varying parameters specification for the … Phillips curve portion of the model; and (ii) the volatilities of disturbances to inflation and cyclical(log) output, which we …

public finances. We show that when the ECB misses its inflation target this has large heterogeneous fiscal consequences for … missing their inflation targets. They are also sizeable …

This paper studies factors behind inflation dynamics in the euro area, the UK and the US. It introduces a factor … inflation in the three economies. The FAVAR model framework is also applied to study the effects on inflation subcomponents in … the more recent past. The FAVAR models suggest that headline inflation in the three economies has reacted in a relatively …

After a long period of price stability, inflation returned to record levels in many parts of the world economy. This … and can explain roughly 75 percent of the inflation experience. Supply side shocks like bottlenecks in global value chains … account for the remaining 25 percent of the variance of inflation forecast errors. In the euro area, the shocks are balanced …

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 evaluates the properties of nominal interest rates as indicators of inflation expectations. Are they … sets. The results show that the interest rate level is a reasonably good indicator of the level of inflation expectations …. However, changes in interest rates are poor indicators of changes in inflation expectations …

This study analyzes the question whether gold provides the ability of hedging against inflation from a new perspective …: First, we show that gold is partially able to hedge future inflation in the long-run and this ability is stronger for the … characterized by regime-dependence, implying that the usefulness of gold as an inflation hedge for investors crucially depends on …

We investigate the relevance of the Carroll's sticky information model of inflation expectations for four major … European economies (France, Germany, Italy and the United Kingdom). Using survey data on household and expert inflation … expectations we argue that the model adequately captures the dynamics of household inflation expectations. We estimate two …