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A monetary real-time conditional forecast of euro area inflation

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  • Sylvia Kaufmann

    (Economic Studies Division, Oesterreichische Nationalbank, Vienna, Austria)

  • Peter Kugler

    (University of Basel, Switzerland)

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 © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1133
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 29 (2010)
Issue (Month): 4 ()
Pages: 388-405

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Handle: RePEc:jof:jforec:v:29:y:2010:i:4:p:388-405

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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Cited by:
  1. Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank).
  2. Giannone, Domenico & Henry, Jérôme & Lalik, Magdalena & Modugno, Michele, 2010. "An Area-Wide Real-Time Database for the Euro Area," CEPR Discussion Papers 7673, C.E.P.R. Discussion Papers.

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