scholarly journals Forecasting Inflation in the Euro Area

2003 ◽  
Author(s):  
Catherine Bruneau ◽  
Olivier de Bandt ◽  
Alexis Flageollet
Keyword(s):  
Euro Area ◽  
Forecasting Inflation

scholarly journals Forecasting Euro Area Inflation Using Single-Equation and Multivariate VAR–Models

2017 ◽  
Vol 17 (2) ◽  
pp. 19-34
Author(s):  
Dieter Gerdesmeier ◽  
Barbara Roffia ◽  
Hans-Eggert Reimers
Keyword(s):  
Euro Area ◽  
Single Equation ◽  
Central Banks ◽  
Var Models ◽  
Vector Autoregressive ◽  
Policy Transmission ◽  
Information Set ◽  
Forecasting Inflation ◽  
Monetary Policy Transmission Mechanism

AbstractForecasting inflation is of key relevance for central banks, not least because the objective of low and stable inflation is embodied in most central banks’ mandates and the monetary policy transmission mechanism is well known to be subject to long and variable lags. To our best knowledge, central banks around the world use conditional as well as unconditional forecasts for such purposes. Turning to unconditional forecasts, these can be derived on the basis of structural and non-structural models. Among the latter, vector autoregressive (VAR)-models are among the most popular tools.This study aims at assessing and deriving a set of unconditional forecasts for euro area inflation based on several specifications which take into account the information content of, inter alia, monetary and credit variables. The models are ordered and based on their in-sample performance and the “best” model is selected accordingly. The results indicate that the inclusion of money and credit variables in the information set improves the quality of the forecasts over a horizon of one to eight quarters. This supports the view that central banks should regularly monitor developments in money and credit.

A Factor Model for Euro-area Short-term Inflation Analysis

2011 ◽  
Vol 231 (1) ◽  
Author(s):  
Michele Lenza ◽  
Thomas Warmedinger
Keyword(s):  
Random Walk ◽  
Sample Size ◽  
Euro Area ◽  
Factor Model ◽  
Short Term ◽  
Inflation Forecasts ◽  
Suitable Tool ◽  
Forecasting Inflation

SummaryThis paper develops a factor model for forecasting inflation in the euro area. The model can handle variables with different timeliness, sample size and frequency. We show that the forecasts based on the factor model outperform naïve random walk forecasts, a hard to beat benchmark for euro area inflation forecasts in recent years, at horizons of and beyond nine months ahead. They are also comparable, in terms of accuracy, to the judgemental forecasts prepared in the context of the Eurosystem macroeconomic projection exercises. The factor model is therefore a very suitable tool to extract the signal on current and future euro area inflation from new data releases.

scholarly journals Forecasting inflation and tracking monetary policy in the euro area: does national information help?

2012 ◽  
Vol 44 (3) ◽  
pp. 1065-1086 ◽  
Author(s):  
Riccardo Cristadoro ◽  
Giuseppe Saporito ◽  
Fabrizio Venditti
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Forecasting Inflation ◽  
National Information
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