Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach

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

No 7746, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Keywords: Bayesian var; Forecast; inflation (search for similar items in EconPapers)
JEL-codes: C11 C13 C33 C53 (search for similar items in EconPapers)
Date: 2010-03
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Citations: View citations in EconPapers (68)

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Journal Article: Short-term inflation projections: A Bayesian vector autoregressive approach (2014)
Working Paper: Short-term inflation projections: a Bayesian vector autoregressive approach (2010)
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