This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …

This paper estimates Inflation risk premia in the Euro area based on nominal swap yields, inflation swap rates, CPI and … conclude that inflation risk premia is insignificant, where a model including surveys will that it significant. Finally our …

) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural … model, as well as the cointegrating properties of the estimated system. Overall, in the long run, wage and price inflation …

This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into … quarters of the past six years, especially in turning point periods. Our main results indicate that headline inflation in euro … rate shocks since the early 2010s, in particular for the region's largest economies. While in the case of headline …

How long does it take for exchange rate changes to pass through into inflation? Does it make a difference whether the …

How long does it take for exchange rate changes to pass through into inflation? Does it make a difference whether the …

This paper asks whether a textbook Phillips curve can explain the behavior of core inflation in the euro area. A … critical feature of the analysis is that we measure core inflation with the weighted median of industry inflation rates, which … is less volatile than the common measure of inflation excluding food and energy prices. We find that fluctuations in core …

there is no shorter-term trade-off between fast real convergence and low inflation. Such a tradeoff characterises the … dynamic process moving the economy along the regression line. But the actual dynamics may run off that line. High inflation is …

This chapter aims at assessing the long-run determinants and the short-run dynamics of inflation in each country … cointegrating VAR approach, which allows for a structural long-run analysis of inflation determinants along with an accurate … inflation differ in the countries belonging to the Euro Area, but also that cost-push factors have a considerable role in …

This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a … empirical question whether the group of monetary variables is relevant for forecasting euro area inflation. In our application …, we consider about thirty monetary and non-monetary indicators for inflation. Using this data, BMA provides inclusion …