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Incorporating Judgement in Fan Charts

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  • Pär Osterholm

Abstract

Within a decision-making group, such as a central bank's monetary-policy committee, group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent's judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system and, accordingly, a particular predictive density-or "fan chart"-associated with it. A weighted linear combination of the predictive densities yields a final predictive density that reflects the uncertainty perceived by the agents generating the forecast. Copyright � The editors of the "Scandinavian Journal of Economics" 2009. .

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.

Volume (Year): 111 (2009)
Issue (Month): 2 (06)
Pages: 387-415

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Handle: RePEc:bla:scandj:v:111:y:2009:i:2:p:387-415

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Citations

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Cited by:
  1. Ohlsson, Henry, 2007. "The legacy of the Swedish gift and inheritance tax, 1884–2004," Working Paper Series 2007:23, Uppsala University, Department of Economics.
  2. S�ren Blomquist & Vidar Christiansen & Luca Micheletto, 2010. "Public Provision of Private Goods and Nondistortionary Marginal Tax Rates," American Economic Journal: Economic Policy, American Economic Association, vol. 2(2), pages 1-27, May.
  3. Österholm, Pär, 2012. "The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 76-86.
  4. P&aauml;r �sterholm & Jeromin Zettelmeyer, 2008. "The Effect of External Conditions on Growth in Latin America," IMF Staff Papers, Palgrave Macmillan, vol. 55(4), pages 595-623, December.
  5. Franziska Ohnsorge & Yevgeniya, 2011. "Forecasting growth in eastern Europe and central Asia," Working Papers 137, European Bank for Reconstruction and Development, Office of the Chief Economist.

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