persistence and volatility of inflation even though the underlying shocks are purely transitory. We also find that the persistence … and volatility become smaller as the inflation target becomes more credible, that is, the private agents' uncertainty …We analyse the interaction between private agents' uncertainty about inflation target and the central bank's data …

persistence and volatility of inflation even though the underlying shocks are purely transitory. We also find that the persistence … and volatility become smaller as the inflation target becomes more credible, that is, the private agents' uncertainty …We analyse the interaction between private agents? uncertainty about inflation target and the central bank's data …

. Our analysis improves upon existing work by endogenising the volatility of both output and inflation. Improved … transparency most likely manifests itself in falling output volatility …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …