• Corpus ID: 251040419

Forecasting euro area inflation using a huge panel of survey expectations

@inproceedings{Huber2022ForecastingEA,
  title={Forecasting euro area inflation using a huge panel of survey expectations},
  author={Florian Huber and Luca Onorante and Michael Pfarrhofer},
  year={2022}
}
. In this paper, we forecast euro area inflation and its main components using an econometric model which exploits a massive number of time series on survey expectations for the European Commission’s Business and Consumer Survey. To make estimation of such a huge model tractable, we use recent advances in computational statistics to carry out posterior simulation and inference. Our findings suggest that the inclusion of a wide range of firms and consumers’ opinions about future economic… 

References

SHOWING 1-10 OF 24 REFERENCES

Do Inflation Expectations Improve Model-Based Inflation Forecasts?

Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information

Spectral Analysis of Business and Consumer Survey Data

This study designs a low-pass filter especially designed for business and consumer survey data that circumvents the a priori assumptions of other filtering methods and applies the Welch method for the detection of periodic components in each of the response options of all monthly survey indicators.

What's Up with the Phillips Curve?

U.S. inflation used to rise during economic booms, as businesses charged higher prices to cope with increases in wages and other costs. When the economy cooled and joblessness rose, inflation

Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models

Abstract In this article, we write the time-varying parameter (TVP) regression model involving K explanatory variables and T observations as a constant coefficient regression model with KT

Twenty years of the ECB Survey of Professional Forecasters

For two decades the ECB Survey of Professional Forecasters (SPF) has been collecting point forecasts and probability distributions for euro area-wide HICP inflation, real GDP growth and the

Phillips Curves in the Euro Area

We perform a robust estimation of the Phillips curve in the euro area using a battery of 630 theory-driven models. We extend the existing literature by adding model specifications, taking into

An Analysis of the Eurosystem/ECB Projections

The Eurosystem/ECB staff macroeconomic projection exercises constitute an important input to the ECB's monetary policy. This work marks a thorough analysis of the Eurosystem/ECB projection errors by

LR-GLM: High-Dimensional Bayesian Inference Using Low-Rank Data Approximations

LR-GLM provides a full Bayesian posterior approximation and admits running times reduced by a full factor of the parameter dimension and shows how the choice of rank allows a tunable computational-statistical trade-off.