We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two … regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and … switches between inflation regimes. Thus money growth provides an important early warning indicator for risks to price …

We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two … regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and … switches between inflation regimes. Thus money growth provides an important early warning indicator for risks to price …

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 …

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 …

account for the remaining 25 percent of the variance of inflation forecast errors. In the euro area, the shocks are balanced …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 …

quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important …

quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important …

In 2021-22, inflation in Europe soared to multidecade highs, consistently exceeding policymakers’ forecasts and … surprising with its wide cross-country dispersion. This paper analyzes the key drivers of the inflation surge in Europe and its …’s economies. Inflation is more sensitive to domestic slack and external price pressures in emerging European economies compared to …

accessibility of these methods. The tests are applied to two series of density forecasts of inflation, namely the US Survey of …