Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system

DOI10.1016/j.jedc.2005.06.005zbMath1198.91174OpenAlexW2105674376MaRDI QIDQ956477

Thomas J. Sargent, Sergei Morozov, Timothy Cogley

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hebis:30-10482

zbMATH Keywords

Bayesian analysisinflationforecasting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (11)

Interval forecasts and parameter uncertainty ⋮ Investigating time-variation in the marginal predictive power of the yield spread ⋮ WHAT CENTRAL BANKERS NEED TO KNOW ABOUT FORECASTING OIL PRICES ⋮ AN INTEGRATED DECISION SUPPORT FRAMEWORK FOR MACROECONOMIC POLICY MAKING BASED ON EARLY WARNING THEORIES ⋮ Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules ⋮ Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration ⋮ FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING* ⋮ Large time-varying parameter VARs ⋮ On the evolution of the monetary policy transmission mechanism ⋮ A MIDAS approach to modeling first and second moment dynamics ⋮ Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

Uses Software

• bvarsv

Cites Work

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• Term structure views of monetary policy under alternative models of agent expectations
• Monte Carlo methods in Bayesian computation
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Error Bands for Impulse Responses
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Time Varying Structural Vector Autoregressions and Monetary Policy

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