Table 3.

Real-time forecast evaluation for euro area inflation: RMSFE.

	Unconditional			Hard conditioning			Soft conditioning
	BVAR	BVAR $t$	BVAR $D$	BVAR	BVAR $t$	BVAR $D$	BVAR	BVAR $t$	BVAR $D$
$h=1$	0.61	0.58	0.60	0.47	0.50	0.62	0.56	0.56	0.55
$h=2$	1.07	0.98	1.02	0.84	0.91	1.05	0.88	0.91	0.88
$h=3$	1.41	1.13	1.17	0.93	0.91	1.01	0.99	0.98	0.96
$h=4$	1.66	1.19	1.25	1.01	0.96	0.94	1.01	1.01	1.00

Note: RMSFE during COVID-19 pandemic for HICP inflation. BVAR denotes a standard Gaussian BVAR, BVAR $t$ is the fat-tailed BVAR, and BVAR $D$ is the BVAR augmented with dummy variables each quarter over the COVID-19 period. The evaluation sample covers the period from 2020:Q1–2021:Q2.