Skip to main content

Joint Econometrics and Statistics Workshop

The time-varying evolution of inflation risks

Dimitris Korobilis (University of Glasgow)

Friday 19 March 2021 12:00 - 13:00

Many of our seminars and public events this year will continue as in person or as hybrid (online and in person) events. Please check our website listings and Twitter feed @STICERD_LSE for updates.

Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.

About this event

This paper develops Bayesian inference for time series quantile regressions with time-varying parameters (TVPs). We transform the TVP quantile regression into an equivalent high-dimensional quantile regression model and derive a highly-efficient Gibbs sampler. The new methodology is able to bridge the empirically established benefits of TVP regressions for forecasting inflation, with the flexibility of quantile regression models for modelling the whole distribution of inflation. An application of this methodology points to a very good forecasting performance of quantile regressions with time-varying parameters augmented with specific credit and money-based indicators for the prediction of the conditional distribution of inflation in the Euro-Area, both in the short and the medium run, especially for tail risks.

Econometrics and Statistics seminars are held on Fridays in term time at 12:00-13:00, ONLINE, unless specified otherwise.

Seminar organisers: Dr Tatiana Komarova and Dr Yunxiao Chen.

For further information please contact Lubala Chibwe, either by email:

Please use this link to subscribe or unsubscribe to the Econometrics and Statistics seminars mailing list (stats).