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A structural Bayesian VAR for model-based fan charts
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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 centra... view more
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.... view less
Keywords
inflation
Classification
Economic Statistics, Econometrics, Business Informatics
Political Economy
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
DOI
https://doi.org/10.1080/00036840600843947
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)