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Short-term inflation projections: A Bayesian vector autoregressive approach

par Giannone, Domenico ;Lenza, Michèle ;Momferatou, Daphne;Onorante, Luca
Référence International journal of forecasting, 30, 3, page (635-644)
Publication Publié, 2014

Article révisé par les pairs

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Résumé :

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 Prices (HICP) and their determinants. The model generates accurate conditional and unconditional forecasts in real-time. We find a significant pass-through effect of oil-price shocks on core inflation and a strong Phillips curve during the Great Recession. © 2013 International Institute of Forecasters.