Phillips curves in the euro area
Laura Moretti (),
Luca Onorante () and
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Shayan Zakipour-Saber: Central Bank of Ireland
No 8/RT/19, Research Technical Papers from Central Bank of Ireland
We perform a robust estimation of the Phillips curve in the euro area using a battery of 630 theory-driven models.We extend the existing literature by adding model specifications, taking into account the uncertainty in the measurement of variables and testing for potential non-linearities and structural changes. Using Dynamic Model Averaging, weidentify the most important determinants of inflation over the sample. We then forecast core inflation 12 quarters ahead and present its probability distribution. We compare the distribution of forecasts performed in recent years, and we assess, in a probabilistic manner, the convergence towards a sustainable path of inflation.
Keywords: Phillips curves; Dynamic Model Averaging; nonlinearities; structural changes; density forecast. (search for similar items in EconPapers)
JEL-codes: C30 E52 F41 E32 (search for similar items in EconPapers)
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Working Paper: Phillips curves in the euro area (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:8/rt/19
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