This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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385
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Type:
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Invited
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Date/Time:
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Tuesday, August 3, 2010 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #306517 |
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Title:
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Short-Term Inflation Projections for the Euro Area
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Author(s):
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Domenico Giannone*+
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Companies:
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ECARES
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Address:
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Université Libre de Bruxelles, Brussels, , Belgium
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Keywords:
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Inflation ;
Bayesian Vector Autoregression ;
Euro Area ;
Real-Time ;
Forecasting
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Abstract:
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In this paper, we construct a large Bayesian Vector Autoregressive model (BVAR) for the Euro Area that captures the complex dynamic inter-relationships between the main components of the Harmonized Index of Consumer Price (HICP) and their determinants. The model is estimated using Bayesian shrinkage. We evaluate the model in real time and find that it produces accurate forecasts. We use the model to study the pass-through of an oil shock and to study the evolution of inflation during the global financial crisis.
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Authors who are presenting talks have a * after their name.
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