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The Bank of England's forecasting platform: COMPASS, MAPS, EASE and the suite of models

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Author Info

  • Burgess, Stephen

    ()
    (Bank of England)

  • Fernandez-Corugedo, Emilio

    ()
    (International Monetary Fund)

  • Groth, Charlotta

    ()
    (Zurich Insurance Group)

  • Harrison, Richard

    ()
    (Bank of England)

  • Monti, Francesca

    ()
    (Bank of England)

  • Theodoridis, Konstantinos

    ()
    (Bank of England)

  • Waldron, Matt

    ()
    (Bank of England)

Abstract

This paper introduces the Bank of England's new forecasting platform and provides examples of how it can be applied to practical forecasting problems. The platform consists of four components: COMPASS, a structural central organising model; a suite of models, used to fill in the gaps in the economics of COMPASS and provide cross-checks on the forecast; MAPS, a macroeconomic modelling and projection toolkit; and EASE, a user interface. The platform has been in use since the end of 2011 in support of production of the projections produced for the Monetary Policy Committee’s quarterly Inflation Reports. In this paper we provide a full description of COMPASS, including discussion of its estimation and its properties. We also illustrate how the suite of models can be used to mitigate some of the trade-offs inherent in building a projection with a central organising model such as COMPASS, and discuss the role of the suite in addressing problems of model misspecification.

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Bibliographic Info

Paper provided by Bank of England in its series Bank of England working papers with number 471.

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Length: 190 pages
Date of creation: 17 May 2013
Date of revision:
Handle: RePEc:boe:boeewp:0471

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Web page: http://www.bankofengland.co.uk/
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Keywords: Forecasting; macro-modelling; misspecification;

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References

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Cited by:
  1. Hackworth, Christopher & Radia, Amar & Roberts, Nyssa, 2013. "Understanding the MPC’s forecast performance since mid-2010," Bank of England Quarterly Bulletin, Bank of England, vol. 53(4), pages 336-350.
  2. Hess Chung & Edward Herbst & Michael Kiley, 2014. "Effective Monetary Policy Strategies in New-Keynesian Models: A Re-Examination," NBER Chapters, in: NBER Macroeconomics Annual 2014, Volume 29 National Bureau of Economic Research, Inc.
  3. Philip King & Stephen Millard, 2014. "Modelling the service sector," Discussion Papers 1401, Centre for Macroeconomics (CFM).
  4. Bell, Venetia & Co, Lai Wah & Stone, Sophie & Wallis, gavin`, 2014. "Nowcasting UK GDP growth," Bank of England Quarterly Bulletin, Bank of England, vol. 54(1), pages 58-68.
  5. Tony Hall & Jan Jacobs & Adrian Pagan, 2013. "Macro-Econometric System Modelling @75," CAMA Working Papers 2013-67, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. King, Philip & Millard, Stephen, 2014. "Modelling the service sector," Bank of England working papers 500, Bank of England.

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