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

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


Ex-ante uncertainty	Ex-post uncertainty

Data for all graphs and tables can be downloaded here

Probabilistic Approach to Assessing Macroeconomic Uncertainties

ESRC/ORA Project

Inflation uncertainty for the United Kingdom