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: , where
. In the policy-input symmetric case, where
(and this is the assumption applied for empirical estimation), the multipliers
can be ignored.
3. Table 1. Forecast uncertainty measures
h | th.uncert | RMSE(u) | std(v) | UR | NUR |
---|---|---|---|---|---|
1 | 0.0294 | 0.326 | 0.313 | 1.88 | 0.828 |
2 | 0.0658 | 0.339 | 0.335 | 1.98 | 0.876 |
3 | 0.11 | 0.411 | 0.402 | 1.93 | 0.852 |
4 | 0.161 | 0.479 | 0.476 | 2 | 0.881 |
5 | 0.218 | 0.551 | 0.546 | 1.98 | 0.876 |
6 | 0.281 | 0.584 | 0.573 | 1.95 | 0.861 |
7 | 0.348 | 0.642 | 0.648 | 2.06 | 0.91 |
8 | 0.42 | 0.723 | 0.732 | 2.07 | 0.916 |
9 | 0.497 | 0.717 | 0.705 | 1.96 | 0.864 |
10 | 0.577 | 0.759 | 0.746 | 1.96 | 0.863 |
11 | 0.662 | 0.869 | 0.868 | 2.02 | 0.893 |
12 | 0.75 | 0.815 | 0.803 | 1.97 | 0.87 |
13 | 0.817 | 0.935 | 0.935 | 2.02 | 0.893 |
14 | 0.868 | 0.968 | 0.968 | 2.02 | 0.894 |
15 | 0.907 | 0.959 | 0.96 | 2.03 | 0.895 |
16 | 0.937 | 0.977 | 0.977 | 2.02 | 0.893 |
17 | 0.96 | 1 | 1 | 2.02 | 0.893 |
18 | 0.976 | 0.978 | 0.982 | 2.04 | 0.901 |
19 | 0.987 | 0.993 | 0.994 | 2.03 | 0.897 |
20 | 0.994 | 1 | 1 | 2.03 | 0.894 |
21 | 0.998 | 1 | 1 | 2.03 | 0.894 |
22 | 1 | 1 | 1 | 2.02 | 0.893 |
23 | 1 | 1 | 1 | 2.02 | 0.893 |
24 | 1 | 1 | 1 | 2.03 | 0.894 |
4. Figure 3. Ex-post and ex-ante inflation fan charts
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Ex-ante uncertainty | Ex-post uncertainty |
Data for all graphs and tables can be downloaded here