Probabilistic Approach to Assessing Macroeconomic Uncertainties


ESRC/ORA Project

Inflation uncertainty for Canada

Posted on: May 26th, 2015 by pramu No Comments

Inflation Uncertainty for Canada

Data for all graphs and tables can be downloaded here


1. Figure 1. Minimum distance characteristics of fitted TPN and WSN distributions to U-uncertainties


WSN fits better than TPN, especially for short and medium horizons.


2. Figure 2. Term structure of the compound strength of forecast-induced monetary policy


The compound strength is computed as: Strength=|alpha|cdot D_m+|beta|cdot D_k, where D_a=int_{|a|}^infty t^2varphi(t)dt=1-Phi(|a|)+|a|varphi(a). In the policy-input symmetric case, where m=-k (and this is the assumption applied for empirical estimation), the multipliers D_a can be ignored.


3. Table 1. Forecast uncertainty measures


4. Figure 3. Ex-post and ex-ante inflation fan charts

canada_ep canada_ea
          Ex-post uncertainty           Ex-ante uncertainty

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