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Multivariate Trend Inflation in the United States and the Euro Area | Synapse

June 3, 2026

Multivariate Trend Inflation in the United States and the Euro Area

Key Points

This research aims to replicate a model for estimating trend inflation in the US and Euro Area, focusing on trends post-2020.
Applied a precision-sampler-based replication of the multivariate unobserved component model from Stock and Watson (2016).
Analyzed inflation trends in the United States and Euro Area.
Estimated trend inflation rates for end-2024.
Identified a significant increase in trend inflation post-2020 for both regions.
Estimated end-2024 trend inflation at 2.3% for the US and 2.0% for the Euro Area.

Abstract

ABSTRACT I provide a precision‐sampler‐based replication of the multivariate unobserved component stochastic volatility outlier‐adjusted model of Stock and Watson (2016) applied to inflation in the United States and the Euro Area (EA). I find a substantial post‐2020 increase in trend inflation for both the United States and the EA, and estimate end‐2024 trend inflation at 2.3 and 2.0 percent, respectively.

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Cite This Study

Max-Sebastian Dovì (Mon,) studied this question.

synapsesocial.com/papers/6a1fc7dcdee9eb8c0dce8748 https://doi.org/https://doi.org/10.1002/jae.70064