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A monetary real-time conditional forecast of euro area inflation
JournalArticle (Originalarbeit in einer wissenschaftlichen Zeitschrift)
 
ID 158038
Author(s) Kaufmann, Sylvia; Kugler, Peter
Author(s) at UniBasel Kugler, Peter
Year 2010
Title A monetary real-time conditional forecast of euro area inflation
Journal Journal of Forecasting
Volume 29
Number 4
Pages / Article-Number 388-405
Keywords Bayesian forecast, vector error correction, inflation forecast, missing values, real-time data
Abstract Based on a vector error correction model we produce conditional euro area inflation forecasts. We use real-time data on M3 and HICP, and include real GPD, the 3-month EURIBOR and the 10-year government bond yield as control variables. Real money growth and the term spread enter the system as stationary linear combinations. Missing and outlying values are substituted by model-based estimates using all available data information. In general, the conditional inflation forecasts are consistent with the European Central Bank's assessment of liquidity conditions for future inflation prospects. The evaluation of inflation forecasts under different monetary scenarios reveals the importance of keeping track of money growth rate in particular at the end of 2005. Copyright (C) 2009 John Wiley & Sons, Ltd.
Publisher Wiley
ISSN/ISBN 1099-131X
edoc-URL http://edoc.unibas.ch/dok/A5259981
Full Text on edoc No
Digital Object Identifier DOI 10.1002/for.1133
ISI-Number WOS:000279278000003
Document type (ISI) Article
 
   

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