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 …

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 …

financial conditions have some inflation forecasting ability over the monetary policy relevant two to three-year horizon during …

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 …

importance of modelling a system that includes the forcing variables as well as the rate of inflation is emphasized. We also …