A Core Inflation Indicator for the Euro Area
提出一种新的欧元区核心通胀指标，通过因子模型从月度价格变化中剔除短期波动和测量误差，能更好预测通胀并追踪欧洲央行政策干预。
This paper proposes a new core inflation indicator for the euro area, obtained by 'cleaning' monthly price changes from short-run volatility, idiosyncratic, and measurement errors. We use a factor model to project monthly inflation on a large panel of time series. Exploiting multivariate information we obtain a satisfactory degree of smoothing without using backward looking moving averages, which induce a time delay in the signal. The indicator forecasts inflation and is a useful tool for policy makers. It outperforms other commonly used predictors at 6 months and longer horizons. It tracks past policy interventions of the ECB.