Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system

被引:64
作者
Cogley, T
Morozov, S
Sargent, TJ
机构
[1] NYU, New York, NY 10003 USA
[2] Hoover Inst, Dept Econ, New York, NY 10003 USA
[3] Univ Calif Davis, Davis, CA 95616 USA
[4] Stanford Univ, Stanford, CA 94305 USA
关键词
Bayesian analysis; forecasting; inflation;
D O I
10.1016/j.jedc.2005.06.005
中图分类号
F [经济];
学科分类号
02 ;
摘要
We estimate a Bayesian vector autoregression for the U.K. with drifting coefficients and stochastic volatilities. We use it to characterize posterior densities for several objects that are useful for designing and evaluating monetary policy, including local approximations to the mean, persistence, and volatility of inflation. We present diverse sources of uncertainty that impinge on the posterior predictive density for inflation, including model uncertainty, policy drift, structural shifts and other shocks. We use a recently developed minimum entropy method to bring outside information to bear on inflation forecasts. We compare our predictive densities with the Bank of England's fan charts. (c) 2005 Published by Elsevier B.V.
引用
收藏
页码:1893 / 1925
页数:33
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