| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7746 |
| DP7746 Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach | |
| Domenico Giannone; Michele Lenza; Luca Onorante; Daphne Momferatou | |
| 发表日期 | 2010-03-21 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian var Forecast inflation |
| URL | https://cepr.org/publications/dp7746 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536582 |
| 推荐引用方式 GB/T 7714 | Domenico Giannone,Michele Lenza,Luca Onorante,et al. DP7746 Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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