Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/207735 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
NBB Working Paper No. 355
Verlag: 
National Bank of Belgium, Brussels
Zusammenfassung: 
Inflation has been persistently weak in the euro area despite the economic recovery since 2013. We investigate the sources behind this protracted low inflation by building a time-varying parameter model that jointly explains the dynamics of inflation and inflation expectations from the ECB's Survey of Professional Forecasters. We find that the inclusion of survey data strengthens the view that low inflation was mainly due to cyclical drivers. In particular, the model with survey expectations finds a more muted decline of trend inflation in recent years and a larger degree of economic slack. The impact of economic slack and import prices on inflation is found to have increased in recent years. We also find that survey expectations have become less persistent over the financial crisis period, and that including survey data improves the model's out-of-sample forecasting performance.
Schlagwörter: 
inflation dynamics
trend inflation
survey-based inflation expectations
ECB Survey of Professional Forecasters
nonlinear state space model
Bayesian estimation
euro area
JEL: 
E31
C11
C32
Dokumentart: 
Working Paper

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