Short-term inflation projections: A Bayesian vector autoregressive approach |
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| Authors: | Domenico Giannone Michele Lenza Daphne Momferatou Luca Onorante |
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| Affiliation: | 1. Université Libre de Bruxelles, Belgium;2. ECARES, Belgium;3. CEPR, London, United Kingdom;4. European Central Bank, Germany;5. Cenral Bank of Ireland, Ireland |
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| 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 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. |
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| Keywords: | Vector Autoregression Forecasting Real-time Phillips curve |
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