Browsing Norges Banks vitenarkiv by Subject "model uncertainty"
Now showing items 1-6 of 6
-
Model Selection for Monetary Policy Analysis – Importance of Empirical Validity
(Working Papers;13/2006, Working paper, 2006)We investigate the importance of employing a valid model for monetary policy analysis. Specifically, we investigate the economic significance of differences in specification and empirical validity of models. We consider ... -
Model Specification and Inflation Forecast Uncertainty
(Working Papers;6/2000, Working paper, 2000)Three classes of inflation models are discussed: Standard Phillips curves, New Keynesian Phillips curves and Incomplete Competition models. Their relative merits in explaining and forecasting inflation are investigated ... -
Quantifying time-varying forecast uncertainty and risk for the real price of oil
(Working Paper;3/2021, Working paper, 2021)We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ... -
Real-Time Inflation Forecasting in a Changing World
(Working Papers;16/2009, Working paper, 2009)This paper revisits inflation forecasting using reduced form Phillips curve forecasts, i.e., inflation forecasts using activity and expectations variables. We propose a Phillips curve-type model that results from averaging ... -
Robustifying Optimal Monetary Policy Using Simple Rules as Cross-Checks
(Working Papers;22/2012, Working paper, 2012)There are two main approaches to modelling monetary policy; simple instrument rules and optimal policy. We propose an alternative that combines the two by extending the loss function with a term penalizing deviations from ... -
Simple Monetary Policy Rules and Exchange Rate Uncertainty
(Working Papers;6/2001, Working paper, 2001)We analyze the performance and robustness of some common simple rules for monetary policy in a New-Keynesian open economy model under different assumptions about the exchange rate model. Adding the exchange rate to an ...