Underlying Inflation and Asymmetric Risks
提出一种新的潜在通胀指标，能实时反映通胀前景的不对称风险，基于欧元区HICP细分项的多变量区制转换模型估计，可快速捕捉通胀突变和拐点。
Abstract We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework jointly estimated on disaggregated sub-components of the euro area HICP and has several additional advantages. First, it is able to swiftly infer abrupt changes in underlying inflation. Second, it helps to timely track turning points in underlying inflation. Third, the proposed indicator also has a satisfactory performance with respect to various criteria relevant for inflation monitoring.