UNSPECIFIED. (2004) Evaluating the Bank of England density forecasts of inflation. ECONOMIC JOURNAL, 114 (498). pp. 844-866. ISSN 0013-0133

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Abstract

We consider evaluating the UK Monetary Policy Committee's inflation density forecasts using probability integral transform goodness-of-fit tests. These tests evaluate the whole forecast density. We also consider whether the probabilities assigned to inflation being in certain ranges are well calibrated, where the ranges are chosen to be those of particular relevance to the MPC, given its remit of maintaining inflation rates in a band around 21/2% annum. Finally, we discuss the decision-based approach to forecast evaluation in relation to the MPC forecasts.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions
Journal or Publication Title:	ECONOMIC JOURNAL
Publisher:	BLACKWELL PUBL LTD
ISSN:	0013-0133
Date:	October 2004
Volume:	114
Number:	498
Number of Pages:	23
Page Range:	pp. 844-866
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/8003

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