-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds … extensions improve the density forecasts of real GDP and inflation and their joint forecasts up to an eight-quarter horizon. We … find that adding financial frictions leads to a deterioration in the forecasts, with the exception of longer-term inflation …

The hierarchical structure of the Colombian Consumer Price Index (CPI) makes possible to calculate inflation as a … inflation using a lineal combination of the forecasts of these components, i.e. a "bottom to top" approach. In this paper, we … compared with an aggregate forecast using a SARIMA model. Our results show that a "bottom to top" method to forecast inflation …

The hierarchical structure of the Colombian Consumer Price Index (CPI) makes possible to calculate inflation as a … inflation using a lineal combination of the forecasts of these components, i.e. a "bottom to top" approach. In this paper, we … compared with an aggregate forecast using a SARIMA model. Our results show that a "bottom to top" method to forecast inflation …

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of … inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused … on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the …

Many pricing models imply that nominal interest rates contain information on inflation expectations. This has lead to a … large empirical literature that investigates the use of interest rates as predictors of future inflation. Most of these … focus on the Fisher hypothesis in which the interest rate maturity matches the inflation horizon. In general forecast …

This paper presents a framework for quantifying uncertainty around point forecasts for GDP, inflation and house prices …

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation …-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures … time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in …

Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled … indicator for inflation uncertainty. Moreover, the idiosyncratic component of survey disagreement contains systematic … that higher inflation is followed by higher uncertainty. By contrast, we obtain contradictory results for the individual …

This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than … accurate estimates of inflation for the current and followings months. In particular, this paper uses the Weekly Oil Bulletin …