TY  - UNPD
A1  - Cogley, Timothy
A1  - Morozov, Sergei
A1  - Sargent, Thomas J.
T1  - Bayesian fan charts for U.K. inflation: forecasting and sources of uncertainty in an evolving monetary system
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,44
N2  - We estimate a Bayesian vector autoregression for the U.K. with drifting coefficients and stochastic volatilities. We use it to characterize posterior densities for several objects that are useful for designing and evaluating monetary policy, including local approximations to the mean, persistence, and volatility of inflation. We present diverse sources of uncertainty that impinge on the posterior predictive density for inflation, including model uncertainty, policy drift, structural shifts and other shocks. We use a recently developed minimum entropy method to bring outside information to bear on inflation forecasts. We compare our predictive densities with the Bank of England's fan charts.
T3  - CFS working paper series - 2003, 44 
KW  - Großbritannien
KW  - Währungssystem
KW  - Vektoranalysis
KW  - Autoregressiver Prozess
KW  - Bayes-Verfahren
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4446
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10482
IS  - This version: October 2003
ER  -