Phillips curves in the euro area

Laura Moretti (), Luca Onorante and Shayan Zakipour Saber
Authors registered in the RePEc Author Service: Shayan Zakipour-Saber ()

No 2295, Working Paper Series from European Central Bank

Abstract: 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, we identify 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. JEL Classification: C30, E52, F41, E32

Keywords: density forecast; Dynamic Model Averaging; non linearities; Phillips curves; structural changes (search for similar items in EconPapers)
Date: 2019-07
New Economics Papers: this item is included in nep-eec and nep-mac
Note: 1004919
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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Related works:
Working Paper: Phillips curves in the euro area (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20192295

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