In this study, we build and use a factor-augmented vector autoregressive (FAVAR) model to forecast inflation and output … better forecasters of some macroeconomic variables, especially inflation. We acknowledge that the results might be affected …

macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate … predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error … also shown to hold over the most recent period in which it has been hard to forecast inflation. …

" macroeconomic events. We examine this conjecture by studying Bayesian predictive distributions for output growth and inflation in …

statistics in forecasting inflation has often been relegated to simple univariate or Phillips curve approaches, thus limiting … extreme trimmed-mean measure - the median CPI - improves the forecasts of both core and headline inflation (CPI and personal … consumption expenditures) across our set of monthly and quarterly BVARs. Although the inflation forecasting improvements are …