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A structural Bayesian VAR for model-based fan charts

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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.
Keywords inflation
Classification Political Economy; Economic Statistics, Econometrics, Business Informatics
Free Keywords forecasts; uncertainty; C32; C53; E47; E52
Document language English
Publication Year 2008
Page/Pages p. 1557-1569
Journal Applied Economics, 40 (2008) 12
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)