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Evaluating the Bank of England density forecasts of inflation
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UNSPECIFIED (2004) Evaluating the Bank of England density forecasts of inflation. ECONOMIC JOURNAL, 114 (498). pp. 844-866.
Research output not available from this repository, contact author.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 | ||||
| Official Date: | October 2004 | ||||
| Dates: |
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| Volume: | 114 | ||||
| Number: | 498 | ||||
| Number of Pages: | 23 | ||||
| Page Range: | pp. 844-866 | ||||
| Publication Status: | Published |
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