This paper describes the econometric models used by the Banco de España to monitor consumer price inflation and …-setting behaviour and the importance of using models that allow for a slowly evolving local mean when forecasting inflation …

while ARIMA model gives the most accurate forecast of twelve-month inflation in EU countries. The Holt-Winters (additive and … fact that the European Union has been implementing a policy of strict inflation targeting for a long time, so the ARIMA … models give the most accurate forecast of inflation future values. In the countries of the Western Balkans the targeting …

We use Bayesian additive regression trees to reexamine the efficiency of growth and inflation forecasts for Germany. To …-term growth and longer-term inflation forecasts. We cannot reject weak efficiency of short-term growth and inflation forecasts. We …

breaks in the performance of most simple Phillips curves. Euro area inflation was particularly hard to forecast in the run … practitioners, we find that: (i) the key type of time variation to consider is an inflation trend; (ii) a simple filter-based output …

Consumer Price Index. We find that online price indices anticipate changes in official inflation trends more than one month in … only predict the contemporaneous inflation rate. Our baseline specification also outperforms statistical benchmark … States. Similarly, our quarterly forecast for the US inflation rate consistently outperforms the Survey of Professional …

We estimate an empirical model of inflation that exploits a Phillips curve relationship between a measure of … unemployment and a subaggregate measure of inflation (services). We generate an aggregate inflation forecast from forecasts of the … statistics for models that exploit relationships between services inflation and the unemployment rate. In addition, models of …

Against the backdrop of an ongoing review of the inflation-targeting framework, this paper examines the real …-time inflation forecasts of the Bank of Canada with the aim of identifying potential areas for improvement. Not surprisingly, the … results show that errors in forecasting non-core inflation (commodity prices etc.) are found to be the largest contributors to …

Inflation rates are highly persistent and extremely difficult to predict. Most statistical predictions based on … inflation forecasting that does not specify or estimate any predictive regressions, but rather starts by estimating a … contemporaneous relation between inflation rate and a short-term interest rate, and then relies on the forward interest rate curve to …

, and in the inflation forecast literature in particular. When the predicted variable is stationary, the use of processes … uncertainty. Finally, we provide an empirical illustration in the context of CPI inflation forecasts for three industrialized …

Recent studies emphasize that survey-based inflation risk measures are informative about future inflation and thus …-frequency financial market data have predictive power for the low-frequency survey-based inflation risk indicators observed at the end of …