Drivers and Forecasting Inflation for Agreement Agadir Countries

How Useful is Core Inflation for Forecasting Headline Inflation ?

The paper constructs various core inflation measures. These include various trimmed means using disaggregated data and a structural VAR estimate of core inflation for Ireland. The ability of these core inflation measures to forecast future headline inflation is compared using a regression model. An ARIMA model fitted to the headline inflation rate is used as the benchmark forecast. The forecast...

Modeling and Forecasting Iranian Inflation with Time Varying BVAR Models

This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allo...

Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields

Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. Abstract We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or...

A State-Dependent Model for Inflation Forecasting

We develop a parsimonious bivariate model of inflation and unemployment that allows for persistent variation in trend inflation and the NAIRU. The model, which consists of five unobserved components (including the trends) with stochastic volatility, implies a time-varying VAR for changes in the rates of inflation and unemployment. The implied backwards-looking Phillips curve has a time-varying ...

An Inflation Forecasting Model for the 1980s