Evaluating The Bank of England Density Forecasts of Inflation  

Oleh:

Clements, Michael P.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 114 no. 498 (Oct. 2004), page 844-866.
Topik: financial forecasts; bank of england; density forecasts; inflation
Fulltext: 844.pdf (189.88KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.15 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We consider evaluating the UK Monetary Policy Committee's inflation density forecasts using probability integral transform goodness - of - fit tests. These tests evaluate the whole forecast density. We also consider whether the probabilities assigned to inflation being in certain ranges are well calibrated, where the ranges are chosen to be those of particular relevance to the MPC, given its remit of maintaining inflation rates in a band around per annum. Finally, we discuss the decision - based approach to forecast evaluation in relation to the MPC forecasts.

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