Rita Laura D'Ecclesia, Giacomo Morelli, Valentina Scaramagli
This work aims to forecast the inflation extending the application of the Dynamic Moving Average (DMA) model to account for CO2 emission. The DMA, whose basis in this case is the generalized Phillips curve equation, is a TVP-model which allows parameters, explanatory variables and the whole model itself to change through the entire time considered. Its application for the forecast of the quarterly US inflation rate has been explored with the addition, in the set of explanatory variables, of a climate change indicator: the level of CO2 emissions of the country. Our results show point toward the goodness of the DMA model to forecast inflation when this new variable is added, showing the relevance of the study of the impact of climate change for the macroeconomics.
Parole Chiave: 
EU ETS; Emission permits’ market; CO2 prices; equilibrium models.
Tipo di pubblicazione: 
Rapporto Tecnico
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