Inflation uncertainty for Canada

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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 $D_a=\int_{|a|}^\infty t^2\varphi(t)dt=1-\Phi(|a|)+|a|\varphi(a)$. 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

Ex-ante uncertainty	Ex-post uncertainty

Data for all graphs and tables can be downloaded here