کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099865 | 1377046 | 2005 | 33 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system](/preview/png/5099865.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 29, Issue 11, November 2005, Pages 1893-1925
Journal: Journal of Economic Dynamics and Control - Volume 29, Issue 11, November 2005, Pages 1893-1925
نویسندگان
Timothy Cogley, Sergei Morozov, Thomas J. Sargent,