Journal
INTERNATIONAL JOURNAL OF FORECASTING
Volume 30, Issue 3, Pages 635-644Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ijforecast.2013.01.012
Keywords
Vector Autoregression; Forecasting; Real-time; Phillips curve
Categories
Ask authors/readers for more resources
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. (C) 2013 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available