04772oam 22010934 450 991080941590332120240410162920.01-4623-6190-01-4527-1583-11-283-51769-897866138301421-4519-9202-5(CKB)3360000000443939(EBL)3014539(SSID)ssj0000942124(PQKBManifestationID)11582406(PQKBTitleCode)TC0000942124(PQKBWorkID)10971517(PQKB)10551543(OCoLC)694141244(MiAaPQ)EBC3014539(IMF)WPIEE2006197(EXLCZ)99336000000044393920020129d2006 uf 0engur|n|---|||||txtccrMeasures of Underlying Inflation in the Euro Area : Assessment and Role for Informing Monetary Policy /Emil Stavrev1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (37 p.)IMF Working Papers"August 2006."1-4518-6457-4 Includes bibliographical references.""Contents""; ""I. INTRODUCTION""; ""II. TAXONOMY OF UNDERLYING INFLATION INDICATORS""; ""III. FEATURES OF THE INDICATORS""; ""IV. FORECASTING METHODOLOGY AND ASSESSMENT OF FORECASTING PERFORMANCE""; ""V. CONCLUDING REMARKS""; ""References""The paper evaluates the 24-month ahead inflation forecasting performance of various indicators of underlying inflation and structural models. The inflation forecast errors resulting from model misspecification are larger than the errors resulting from forecasting of exogenous variables. Also, measures derived using the generalized dynamic factor model (GDFM) overperform other measures over the monetary policy horizon and are leading indicators of headline inflation. Trimmed means, although weaker than GDFM indicators, have good forecasting performance, while indicators by permanent exclusion underperform but provide useful information about short-term dynamics. The forecasting performance of theoretically-founded models that relate monetary aggregates, the output gap, and inflation improves with the time horizon but generally falls short of that of the GDFM. A composite measure of underlying inflation, derived by averaging the statistical indicators and the model-based estimates, improves forecast accuracy by eliminating bias and offers valuable insight about the distribution of risks.IMF Working Papers; Working Paper ;No. 2006/197Inflation (Finance)EuropeMonetary policyEuropeForeign ExchangeimfInflationimfMacroeconomicsimfMoney and Monetary PolicyimfForecastingimfModel Construction and EstimationimfModel Evaluation and SelectionimfForecasting and Other Model ApplicationsimfPrice LevelimfDeflationimfEnergy: Demand and SupplyimfPricesimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfEconomic ForecastingimfCurrencyimfForeign exchangeimfMonetary economicsimfEconomic forecastingimfOil pricesimfExchange ratesimfMonetary aggregatesimfMoney supplyimfInflation (Finance)Monetary policyForeign ExchangeInflationMacroeconomicsMoney and Monetary PolicyForecastingModel Construction and EstimationModel Evaluation and SelectionForecasting and Other Model ApplicationsPrice LevelDeflationEnergy: Demand and SupplyPricesMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralEconomic ForecastingCurrencyForeign exchangeMonetary economicsEconomic forecastingOil pricesExchange ratesMonetary aggregatesMoney supplyStavrev Emil1594423DcWaIMFBOOK9910809415903321Measures of Underlying Inflation in the Euro Area4127193UNINA