Underlying inflation and asymetric risks-Reference-Cited by-同舟云学术

Underlying inflation and asymetric risks

Published:2023-07-26 Issue: Volume: Page:
ISSN:1579-8666
Container-title:Documentos de Trabajo
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Author:

Le Bihan Hervé¹,Leiva-León Danilo²,Pacce Matías³

Affiliation:

1. Banque de France

2. European Central Bank

3. Banco de España

Abstract

We propose a new measure of underlying inflation that provides real-time information on asymmetric risks in the outlook for inflation. The asymmetries are generated by nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework estimated using disaggregated sub-components of euro area HICP and has several additional advantages. First, it is able to swiftly infer abrupt changes in underlying inflation. Second, it helps track turning points in underlying inflation on a timely basis. Third, the proposed indicator also performs satisfactorily vis-à-vis several criteria relevant to inflation monitoring.

Publisher

Banco de España

Reference34 articles.

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