Short-term inflation projections: a Bayesian vector autoregressive approach

Domenico Giannone, Michele Lenza, Daphné Momferatu and Luca Onorante
Authors registered in the RePEc Author Service: Daphne Momferatou ()

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: In this paper, we construct a large Bayesian Vector Autoregressive model (BVAR) for the Euro Area that captures the complex dynamic inter-relationships between the main components of the Harmonized Index of Consumer Price (HICP) and their determinants. The model is estimated using Bayesian shrinkage. We evaluate the model in real time and find that it produces accurate forecasts. We use the model to study the pass-through of an oil shock and to study the evolution of inflation during the global financial crisis.

Date: 2010-03
New Economics Papers: this item is included in nep-cba, nep-eec, nep-for and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (63)

Published by: ECARES

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/5759 ... _wpaper_2010_011.pdf RePEc_eca_wpaper_2010_011 (application/pdf)

Related works:
Journal Article: Short-term inflation projections: A Bayesian vector autoregressive approach (2014)
Working Paper: Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2010_011

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... ulb.ac.be:2013/57597

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().