Probabilistic Approach to Assessing Macroeconomic Uncertainties

PRAMU

ESRC/ORA Project

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

MD-Canada

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

Strength-Canada

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

canada_ea canada_ep
Ex-ante uncertainty           Ex-post uncertainty

 

Data for all graphs and tables can be downloaded here