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- Title
Evaluating the Bank of England Density Forecasts of Inflation.
- Authors
Clements, Michael P.
- Abstract
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.
- Subjects
UNITED Kingdom; PRICE inflation; MONETARY policy; ECONOMIC forecasting; GOODNESS-of-fit tests; PROBABILITY theory; BANKING industry
- Publication
Economic Journal, 2004, Vol 114, Issue 498, p844
- ISSN
0013-0133
- Publication type
Article
- DOI
10.1111/j.1468-0297.2004.00246.x