Arbeitspapier
The time-varying evolution of inflation risks
This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting in ation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting in ation with the ability of quantile regression to model exibly the whole distribution of in ation. In order to make our approach accessible and empirically relevant for forecasting, we derive an efficient Gibbs sampler by transforming the state-space form of the TVP quantile regression into an equivalent high-dimensional regression form. An application of this methodology points to a good forecasting performance of quantile regressions with TVPs augmented with specific credit and money-based indicators for the prediction of the conditional distribution of in ation in the euro area, both in the short and longer run, and specifically for tail risks.
- ISBN
-
978-92-899-4853-1
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2600
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Large Data Sets: Modeling and Analysis
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Money Supply; Credit; Money Multipliers
- Thema
-
Quantile regression
MCMC
time-varying parameters
Bayesianshrinkage
Horseshoe
euro area
ination tail risks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Korobilis, Dimitris
Landau, Bettina
Musso, Alberto
Phella, Anthoulla
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- DOI
-
doi:10.2866/861413
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Korobilis, Dimitris
- Landau, Bettina
- Musso, Alberto
- Phella, Anthoulla
- European Central Bank (ECB)
Entstanden
- 2021
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