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 …

the assumptions that interest rates remain constant over the forecast horizon, follow a path as expected by market …-rate projection under inflation targeting: the Norwegian example. Centre for European Policy Studies Working Paper (127), 2006) and … expectations yielding the highest forecast accuracy to conditioning on constant interest rates yielding the lowest. Yet, when …