Probabilistic Approach to Assessing Macroeconomic Uncertainties

PRAMU

ESRC/ORA Project

Inflation uncertainty for the United States


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-US

WSN fits better than WSN in almost all cases.

 

2. Figure 2. Term structure of the compound strength of forecast-induced monetary policy

Strength-US

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

us_ea us_ep
Ex-ante uncertainty           Ex-post uncertainty

 

Data for all graphs and tables can be downloaded here