Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283406 
Year of Publication: 
2023
Series/Report no.: 
ECB Working Paper No. 2848
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework jointly estimated on disaggregated sub-components of the euro area HICP and has several additional advantages. First, it is able to swiftly infer abrupt changes in underlying inflation. Second, it helps to timely track turning points in underlying inflation. Third, the proposed indicator also has a satisfactory performance with respect to various criteria relevant for inflation monitoring.
Subjects: 
underlying inflation
asymmetric risks
regime-switching
Bayesian methods
JEL: 
E17
E31
C11
C22
C24
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6213-1
Document Type: 
Working Paper

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