The positive relationship between inflation and inflation uncertainty is well supported by empirical evidence in the … literature. However, this does not answer the question of whether the inflation causes the inflation uncertainty and vice versa … or both in the Granger sense. The empirical evidence provided from the United Kingdom suggests that inflation and …

This paper analyzes the performance of central banks in 27 inflation targeting countries by examining their success in … achieving their explicit inflation targets. For this purpose, we decompose the inflation gap, the difference between actual … inflation and inflation target, into predictable and unpredictable components. We argue that the central banks are successful if …

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 …

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 …

This paper examines the information content of inflation forecasts derived using index-linked and conventional bonds …. The paper finds that the derived inflation term structure (ITS) gives a somewhat better indication of the bond market …'s inflation expectation than can be derived using either the nominal term structure or a variant employing strong assumptions …

underestimate the ECB's inflation forecasting accuracy. In particular, they believe that the ECB is overly optimistic. Communication … that challenges these perceptions improves the anchoring of inflation expectations, reduces inflation uncertainty and … discourages consumption of durable goods. Treated households also report higher trust in the ECB, perceive the ECB's inflation …

small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short …