This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term … inflation rate are evaluated. The models including the shadow rate interaction term are found to outperform the benchmark ones …

outperform those of the QPM for the whole forecast horizon. For inflation they also outperform the official NBU forecasts over … period 2016q1-2020q1. My findings suggest that inflation forecasts produced by the BVAR model are more accurate than those of …