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

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

Forecasting 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 ba...

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Bibliographic Details
Main Authors: Gerdesmeier Dieter, Roffia Barbara, Reimers Hans-Eggert
Format: Article
Language:English
Published: Sciendo 2017-12-01
Series:Folia Oeconomica Stetinensia
Subjects:
inflation forecasts
euro area
bayesian var
e31
e47
c11
Online Access:https://doi.org/10.1515/foli-2017-0016
Description
Summary:Forecasting 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.
ISSN:1898-0198

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