-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 …

trends over time, they lead to different conclusions about how well the output gap can predict inflation. This suggests that … inflation. The multivariate Hodrick-Prescott filter and the structural vector autoregressive model produce the smallest forecast … errors in most cases among the four output gap models considered. We further find some indications of a better inflation …

Energy inflation is a major source of headline inflation volatility and forecast errors, therefore it is critical to … model it accurately. This paper introduces a novel suite of Bayesian VAR models for euro area HICP energy inflation, which …

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 …

The period of extraordinary volatility in euro area headline inflation starting in 2007 raised the question whether … for HICP headline inflation and HICP excluding food and energy. We investigate how forecast accuracy of the combination … including the global financial crisis with its extraordinary volatility in inflation. Overall, we find that forecast combination …

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 …

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 …

We evaluate inflation forecasts from the Survey of Professional Forecasters (SPF) of the Central Bank of Chile … accurate inflation forecasts. We evaluate these new forecasts in an out-of sample exercise. The new forecasts display important …

In this paper, we present an updated version of the reference model used at Banque de France to forecast inflation …: MAPI (Model for Analysis and Projection of Inflation). While the conceptual framework of the model remains very close to …

Recent empirical work has considered the prediction of inflation by combining the information in a large number of time … the forecasts over a large number of different models, each of which is a linear regression model that relates inflation … pseudo out-of-sample prediction of US inflation, and find that it gives more accurate forecasts than simple equal weighted …