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A structural Bayesian VAR for model-based fan charts


Österholm, Pär


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Abstract Inflation forecast uncertainty is of importance for a wide range of agents in the economy, central banks in particular. Ways to describe and account for this uncertainty in a consistent manner have received increasing attention of late, in part due to the growing number of inflation-targeting central banks. This paper develops a large structural VAR for the Swedish economy and estimates it in a Bayesian framework. The methodology permits not only structural interpretation and analysis but offers a natural way to formalise forecast uncertainty, as the posterior predictive density from the model has the interpretation of a fan chart.
Thesaurusschlagwörter inflation
Klassifikation Volkswirtschaftslehre; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter forecasts; uncertainty; C32; C53; E47; E52
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 1557-1569
Zeitschriftentitel Applied Economics, 40 (2008) 12
DOI http://dx.doi.org/10.1080/00036840600843947
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)