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) 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)

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

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) 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) The demand and supply of information about inflation Dalibor Stevanovic, Université du Québec à Montréal, CIRANO Co-author: Massimiliano Marcellino, Bocconi University Presentation (pdf)

16:40	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) 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) Pass through of energy prices to inflation in the euro area: implications for current modelling practices? Francesco Corsello, Banca d’Italia Presentation (pdf)

17:30	End

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Challenges and recent advances in modelling and forecasting inflation