Evaluating the Bank of England density forecasts of inflation

• 成果类型: Article
• 署名作者: Clements, MP
• 署名单位: University of Warwick
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2004.00246.x
• 发表日期: 2004
• 页码: 844-866
• 关键词: interval; limitations; tests

摘要

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 21/2% annum. Finally, we discuss the decision-based approach to forecast evaluation in relation to the MPC forecasts.