We propose a DSGE model with regime switching in the central bank's inflation target to explain inflation compensation in the UK. Taking advantage of the well-documented change in UK monetary policy to adopt inflation targeting, we estimate our model using nominal and inflation-linked Treasury...

In this paper, I consider forecasting from a reduced-form VAR under the zero lower bound (ZLB) for the short-term nominal interest rate. The ZLB constraint expands the number of states exponentially, making the exact computation of forecast moments infeasible. I develop a method that a) computes...

Some analysts pay particular attention to oil prices, thinking they might give an advance signal of changes in inflation. However, using a variety of statistical tests, we find that adding oil prices does little to improve forecasts of CPI inflation. Our results suggest that higher oil prices...

We propose a DSGE model with regime switching in the central bank’s inflation target to explain inflation compensation in the UK. Taking advantage of the well-documented change in UK monetary policy to adopt inflation targeting, we estimate our model using nominal and inflation-linked Treasury...

This paper assesses the effects of real depreciation on the economic performance of Turkey by considering quarterly data from 1987: I to 2001: III. The empirical evidence suggests that, contrary to classical wisdom, the real depreciations are contractionary, even when external factors like world...

There are many ways to forecast the future rate of inflation, ranging from sophisticated statistical models involving hundreds of variables to hunches based on past experience. We generate a number of forecasts using a simple statistical model and an even simpler estimating rule, adding in...