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SUERF workshop in cooperation with ECB, Bank of Finland, Bank of Italy and OeNB

Challenges and recent advances in modelling and forecasting inflation

Monday, 28th November 2022 | 14:00-17:30 CET | online via Webex

Scientific coordination
Matthieu Darracq Paries, ECB, Ernest Gnan, SUERF, Juha Kilponen, Bank of Finland, Karin Klieber, OeNB, Alessandro Notarpietro, Banca d’Italia, Fabio Rumler, OeNB, Mirjam Salish, OeNB

Monday, 28 November 2022
14:00 Opening and welcome

Ernest Gnan, Secretary General, SUERF

14:05 Session 1 - Inflation forecasting: learning from errors, what if there is a regime change?

Chair: Juha Kilponen, Bank of Finland

The usefulness of inflation indicators depending on the inflation regime
Benoit Mojon, Bank for International Settlements (BIS)
Presentation (pdf)Presentation (pdf)

The bias of the ECB inflation projections: a state dependent analysis
Pirkka Jalasjoki, Bank of Finland

Co-authors: Eleonora Granziera, Norges Bank, Maritta Paloviita, Bank of Finland

Presentation (pdf)Presentation (pdf)

14:50 Session 2 - Inflation perceptions/expectations: role for inflation modeling and forecasting

Chair: Matthieu Daracq-Pariès, European Central Bank

New avenues to incorporate inflation expectations into forecasting models - state of work at the ECB
Marta Bańbura, European Central Bank
Presentation (pdf)Presentation (pdf)

Whose Inflation Expectations Best Predict Inflation?
Randal J Verbrugge and Saeed Zaman, Federal Reserve Bank of Cleveland
Presentation (pdf)Presentation (pdf)

Is Trend Inflation at Risk of Becoming Unanchored? The Role of Inflation Expectations
Danilo Cascaldi-Garcia, Federal Reserve Board

Co-author: Francesca Loria and David López-Salido, Federal Reserve Board

Presentation (pdf)Presentation (pdf)

15:40 Virtual Break
15:50 Session 3 - Inflation forecasting: new avenues for improvement

Chair: Alessandro Notarpietro, Banca d’Italia

Forecasting UK inflation bottom up
Andreas Joseph, Bank of England

Co-authors: Galina Potjagailo and Chiranjit Chakraborty (Bank of England), George Kapetanios and Eleni Kalamara (King’s College)

Presentation (pdf)Presentation (pdf)

Forecasting US Inflation using Bayesian Nonparametric Models
Massimiliano Marcellino, Bocconi University

Co-authors: Todd Clark, Federal Reserve Bank of Cleveland, Florian Huber, University of Salzburg and Gary Koop, University of Strathclyde

Presentation (pdf)Presentation (pdf)

The demand and supply of information about inflation
Dalibor Stevanovic, Université du Québec à Montréal, CIRANO

Co-author: Massimiliano Marcellino, Bocconi University

Presentation (pdf)Presentation (pdf)

Session 4 – Inflation dynamics and large supply shocks

Chair: Deniz Igan, Bank for International Settlements (BIS) and SUERF

Inflation Expectations and the Supply Chain
Emiliano Luttini, Central Bank of Chile

Co-authors: Elías Albagli, Central Bank of Chile, Francesco Grigoli, IMF
Presentation (pdf)Presentation (pdf)

Global Supply Chain Pressures, International Trade, and Inflation
Muhammed A Yildirim, The Growth Lab, Harvard University

Co-authors: Julian Di Giovanni (Federal Reserve Bank of New York), Sebnem Kalemli-Özcan and Alvaro Silva (University of Maryland)

Presentation (pdf)Presentation (pdf)

Pass through of energy prices to inflation in the euro area: implications for current modelling practices?
Francesco Corsello, Banca d’Italia
Presentation (pdf)Presentation (pdf)

17:30 End

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