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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 ()

No ECARES 2010-011, 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.

New Economics Papers: this item is included in nep-cba, nep-eec, nep-for and nep-mon
Date: 2010-03
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Published by: ECARES

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Journal Article: Short-term inflation projections: A Bayesian vector autoregressive approach (2014) Downloads
Working Paper: Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach (2010) Downloads
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