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dc.contributor.authorAkram, Q. Farooq
dc.contributor.authorBinning, Andrew
dc.contributor.authorMaih, Junior
dc.date.accessioned2018-04-24T12:23:33Z
dc.date.available2018-04-24T12:23:33Z
dc.date.issued2016
dc.identifier.isbn978-82-7553-908-1
dc.identifier.issn1502-8190
dc.identifier.urihttp://hdl.handle.net/11250/2495725
dc.description.abstractIn this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a new method of producing fan charts that better communicates the uncertainty present in forecasts from multivariate time series models. Second, we suggest a new measure for assessing the plausibility of non-central point forecasts. And third, we describe how to use the density forecasts from a multivariate time series model to assess the probability of a set of future events occurring. An additional novelty of this paper is our use of a regime-switching DSGE model with an occasionally binding zero lower bound constraint, estimated on US data, to produce the density forecasts. The tools we off er will allow practitioners to better assess and communicate joint forecast probabilities, a criticism that has been leveled at central bank communications.nb_NO
dc.language.isoengnb_NO
dc.publisherNorges Banknb_NO
dc.relation.ispartofseriesWorking Papers;7/2016
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.subjectJEL: C6nb_NO
dc.subjectJEL: C11nb_NO
dc.subjectJEL: C53nb_NO
dc.subjectJEL: E1nb_NO
dc.subjectJEL: E5nb_NO
dc.subjectJEL: E37nb_NO
dc.subjectDSGEnb_NO
dc.subjectBayesian estimationnb_NO
dc.subjectmonetary policynb_NO
dc.subjectfan chartsnb_NO
dc.subjectzero lower boundnb_NO
dc.subjectregime-switchingnb_NO
dc.titleJoint Prediction Bands for Macroeconomic Risk Managementnb_NO
dc.typeWorking papernb_NO
dc.description.versionpublishedVersionnb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212nb_NO
dc.source.pagenumber22nb_NO


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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
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