Resource title

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

Resource image

image for OpenScout resource :: Bayesian fan charts for UK inflation: forecasting and sources of uncertainty in an evolving monetary system

Resource description

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.

Resource author

Timothy W. Cogley, Sergei Morozov, Thomas J. Sargent

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25403

Resource license

Adapt according to the presented license agreement and reference the original author.