Asymmetry in the conditional distribution of euro-area inflation

Alex Tagliabracci

No 1270, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: Macroeconomic conditions are among the key determinants of the inflation outlook. This paper studies how business cycles affect the conditional distribution of euro-area inflation forecasts. Using a quantile regression approach, I estimate the conditional distribution of inflation to assess the impact of business cycle conditions over time and the possible asymmetries across quantiles of inflation. Interestingly, downside risks to inflation forecasts are related to the business cycle while upside risks are instead relatively stable over time and are not affected by the state of the economy.

Keywords: inflation; quantile regression; conditional distribution; asymmetry; downside risks (search for similar items in EconPapers)
JEL-codes: C32 E31 E32 E37 (search for similar items in EconPapers)
Date: 2020-03
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1270_20

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