-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …

This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of … relative performance using as benchmarks forecasts from time series models and from other macroeconomic variables. Inflation … be better, in mean squared error terms, than the benchmark forecasts, except for the case of one-yearahead inflation. In …

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate … inflation. -- Path forecast ; forecast uncertainty ; simultaneous confidence region ; Scheffé’s S-method ; Mahalanobis distance …

significantly negative to zero, depending on the estimation sample and especially if the Finnish Great Depression of early 1990's is …

estimation. We conclude that using prior information from a standard New Keynesian DSGE model improves the forecast performance …

Does the use of information on the past history of the nominal interest rates and inflation entail improvement in … and a bivariate model for the nominal rate and inflation which imposes cointegration restrictions between them. The two … accurate one-period ahead forecasts of the real rate within the estimation sample, whereas the unobserved components model …

The paper analyses reasons for departures from strong rationality of growth and inflation forecasts based on annual … evidence for such a non-linearity for inflation forecasts. …