Probabilistic Approach to Assessing Macroeconomic Uncertainties

PRAMU

ESRC/ORA Project

Inflation uncertainty for the United Kingdom

Posted on: June 3rd, 2015 by pramu No Comments

Inflation uncertainty for the United Kingdom

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 except for very short forecast 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

uk_ep uk_ea
          Ex-post uncertainty           Ex-ante uncertainty

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