Short-term inflation projections: A Bayesian vector autoregressive approach

Domenico Giannone, Michele Lenza, Daphne Momferatou () and Luca Onorante

International Journal of Forecasting, 2014, vol. 30, issue 3, 635-644

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 Prices (HICP) and their determinants. The model generates accurate conditional and unconditional forecasts in real-time. We find a significant pass-through effect of oil-price shocks on core inflation and a strong Phillips curve during the Great Recession.

Keywords: Vector Autoregression; Forecasting; Real-time; Phillips curve (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (92)

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Related works:
Working Paper: Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach (2010)
Working Paper: Short-term inflation projections: a Bayesian vector autoregressive approach (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:30:y:2014:i:3:p:635-644

DOI: 10.1016/j.ijforecast.2013.01.012

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