Measuring Core Inflation in the Euro Area
Author | : Claudio Morana |
Publisher | : |
Total Pages | : 59 |
Release | : 2000 |
Genre | : |
ISBN | : |
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Author | : Claudio Morana |
Publisher | : |
Total Pages | : 59 |
Release | : 2000 |
Genre | : |
ISBN | : |
Author | : Stefano Siviero |
Publisher | : |
Total Pages | : 54 |
Release | : 2007 |
Genre | : Inflation (Finance) |
ISBN | : |
Author | : Juan-Luis Vega |
Publisher | : |
Total Pages | : 54 |
Release | : 2002 |
Genre | : Inflation (Finance) |
ISBN | : |
Author | : Emil Stavrev |
Publisher | : International Monetary Fund |
Total Pages | : 42 |
Release | : 2006-08 |
Genre | : Business & Economics |
ISBN | : |
The paper evaluates the 24-month ahead inflation forecasting performance of various indicators of underlying inflation and structural models. The inflation forecast errors resulting from model misspecification are larger than the errors resulting from forecasting of exogenous variables. Also, measures derived using the generalized dynamic factor model (GDFM) overperform other measures over the monetary policy horizon and are leading indicators of headline inflation. Trimmed means, although weaker than GDFM indicators, have good forecasting performance, while indicators by permanent exclusion underperform but provide useful information about short-term dynamics. The forecasting performance of theoretically-founded models that relate monetary aggregates, the output gap, and inflation improves with the time horizon but generally falls short of that of the GDFM. A composite measure of underlying inflation, derived by averaging the statistical indicators and the model-based estimates, improves forecast accuracy by eliminating bias and offers valuable insight about the distribution of risks.
Author | : Juan Luis Vega |
Publisher | : |
Total Pages | : 42 |
Release | : 2001 |
Genre | : Inflation (Finance) |
ISBN | : |
Author | : Claudio Morana |
Publisher | : |
Total Pages | : 0 |
Release | : 2022 |
Genre | : |
ISBN | : |
Author | : Laurent Bilke |
Publisher | : |
Total Pages | : 27 |
Release | : 2008 |
Genre | : Inflation (Finance) |
ISBN | : |
Author | : Fabio C. Bagliano |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
Genre | : |
ISBN | : |
Using a common trends model, we estimate a forward-looking core inflation measure for the Euro area based on long-run relations among major macroeconomic variables, bearing the interpretation of long-run inflation forecast. The proposed measure may be particularly suitable for the two-pillar monetary policy strategy of the ECB which focuses on medium-term inflation prospects.
Author | : Laurence M. Ball |
Publisher | : |
Total Pages | : 0 |
Release | : 2019 |
Genre | : |
ISBN | : |
This paper asks whether a textbook Phillips curve can explain the behavior of core inflation in the euro area. A critical feature of the analysis is that we measure core inflation with the weighted median of industry inflation rates, which is less volatile than the common measure of inflation excluding food and energy prices. We find that fluctuations in core inflation since the creation of the euro are well explained by three factors: expected inflation (as measured by surveys of forecasters); the output gap (as measured by the OECD); and the pass-through of movements in headline inflation. Our specification resolves the puzzle of a "missing disinflation" after the Great Recession, and it diminishes the puzzle of a "missing inflation" during the recent economic recovery.
Author | : Michal Andrle |
Publisher | : International Monetary Fund |
Total Pages | : 26 |
Release | : 2013-09-11 |
Genre | : Business & Economics |
ISBN | : 1475531206 |
This paper discusses comovement between inflation and output in the euro area. The strength of the comovement may not be apparent at first sight, but is clear at business cycle frequencies. Our results suggest that at business cycle frequency, the output and core inflation comovement is high and stable, and that inflation lags the cycle in output with roughly half of its variance. The strong relationship of output and inflation hints at the importance of demand shocks for the euro area business cycle.