Inflation Modelling in the Euro Area

University of Turin, Department of Economics and Public Finance WP No. 62

Posted: 5 Jul 2002

See all articles by Fabio C. Bagliano

Fabio C. Bagliano

University of Turin - Department of Economics and Statistics; Center for Research on Pensions and Welfare Policies (CeRP); University of Turin - Collegio Carlo Alberto

Roberto Golinelli

University of Bologna - Department of Economics

Claudio Morana

Università di Milano Bicocca; Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES); Center for Economic Research on Pensions and Welfare Policies (CeRP); Rimini Center for Economic Analysis - Europe ETS; Rimini Center for Economic Analysis - HQ

Date Written: March 2002

Abstract

The aim of this paper is to provide econometric tools to analyse and forecast inflation dynamics in the Euro area, starting from a small-scale cointegrated VAR system. In order to supply information on the long-run inflation trend, a forward-looking "core" inflation measure is constructed. This measure is based on long-run relations among major macroeconomic variables, bearing the interpretation of a long-run inflation forecast. The proposed measure may be particularly suitable for the "two-pillar" monetary policy strategy of the ECB which focuses on medium-term inflation prospects.

JEL Classification: C32, E31, E52

Suggested Citation

Bagliano, Fabio C. and Golinelli, Roberto and Morana, Claudio, Inflation Modelling in the Euro Area (March 2002). University of Turin, Department of Economics and Public Finance WP No. 62, Available at SSRN: https://ssrn.com/abstract=316766 or http://dx.doi.org/10.2139/ssrn.316766

Fabio C. Bagliano (Contact Author)

University of Turin - Department of Economics and Statistics ( email )

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Roberto Golinelli

University of Bologna - Department of Economics ( email )

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+39 051 209 2664 (Fax)

Claudio Morana

Università di Milano Bicocca ( email )

Dip Economia Metodi Quantitativi Strategie Impresa
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Università degli Studi di Milano-Bicocca - Center for European Studies (CefES) ( email )

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Milano, 20126
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Center for Economic Research on Pensions and Welfare Policies (CeRP) ( email )

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Milan, 20126
Italy

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