find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF … inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide … useful information. By contrast, incorporating expectations derived from financial market prices or those of firms and …

This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …

variables, but also by tilting to expectations from the Survey of Professional Forecasters. For Phillips curves, averaging …

forecasting inflation, while the BVARX model fares better in forecasting …

rejection sampler. The latter two are also coupled with interest rate expectations from future contracts. The comparison is … interest rate expectations to deal with the nonlinearity in the policy rate. Since the policy rate will remain low for some …

This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a … number of data-rich forecasting methods, including Lasso, Ridge, partial least squares and factor-based methods. It is found …