Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208329
Authors: 
Moretti, Laura
Onorante, Luca
Saber, Shayan Zakipour
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper No. 2295
Abstract: 
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 account the uncertainty in the measurement of variables and testing for potential non-linearities and structural changes. Using Dynamic Model Averaging, we identify the most important determinants of inflation over the sample. We then forecast core inflation 12 quarters ahead and present its probability distribution. We compare the distribution of forecasts performed in recent years, and we assess, in a probabilistic manner, the convergence towards a sustainable path of inflation.
Subjects: 
Phillips curves
Dynamic Model Averaging
non linearities
structural changes
density forecast
JEL: 
C30
E52
F41
E32
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3557-9
Document Type: 
Working Paper

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