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Citations for "Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system"

by Cogley, Timothy W. & Morozov, Sergei & Sargent, Thomas J.

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  1. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 2012/09, Norges Bank.
  2. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010. "Inflation-Gap Persistence in the US," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 43-69, January.
  3. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.
  4. Juan Manuel Julio, 2005. "Implementacion, Uso e Interpretación del FAN CHART," BORRADORES DE ECONOMIA 002815, BANCO DE LA REPÚBLICA.
  5. Michele Campolieti & Deborah Gefang & Gary Koop, 2011. "Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada," Working Papers 1138, University of Strathclyde Business School, Department of Economics.
  6. Lahiri, Kajal & Liu, Fushang, 2005. "ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts," MPRA Paper 21693, University Library of Munich, Germany.
  7. Koop, Gary & Korobilis, Dimitris, 2012. "Large Time-Varying Parameter VARs," SIRE Discussion Papers 2012-14, Scottish Institute for Research in Economics (SIRE).
  8. Timothy Cogley & Thomas J. Sargent, 2008. "Anticipated Utility And Rational Expectations As Approximations Of Bayesian Decision Making," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 49(1), pages 185-221, 02.
  9. Luca Benati, 2003. "Evolving Post-World War II U.K. Economic Performance," Computing in Economics and Finance 2003 171, Society for Computational Economics.
  10. Koop, Gary & Korobilis, Dimitris, 2009. "UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?," SIRE Discussion Papers 2009-40, Scottish Institute for Research in Economics (SIRE).
  11. Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013. "Macroeconomic forecasting and structural change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, 01.
  12. Dong Jin Lee, 2009. "Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process," Working papers 2009-26, University of Connecticut, Department of Economics.
  13. Baumeister, Christiane & Liu, Philip & Mumtaz, Haroon, 2010. "Changes in the transmission of monetary policy: evidence from a time-varying factor-augmented VAR," Bank of England working papers 401, Bank of England.
  14. Bianchi, Francesco & Mumtaz, Haroon & Surico, Paolo, 2009. "The great moderation of the term structure of UK interest rates," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 856-871, September.
  15. Kagraoka, Yusho & Moussa, Zakaria, 2013. "Quantitative easing, credibility and the time-varying dynamics of the term structure of interest rate in Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 181-201.
  16. Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper Series 51_10, The Rimini Centre for Economic Analysis, revised Apr 2011.
  17. Harrison, Richard & Taylor, Tim, 2012. "Non-rational expectations and the transmission mechanism," Bank of England working papers 448, Bank of England.
  18. Michal Franta & Jozef Baruník & Roman Horváth & Katerina Smídková, 2014. "Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 159-188, March.
  19. Miguel, Belmonte & Gary, Koop & Dimitris, Korobilis, 2011. "Hierarchical shrinkage in time-varying parameter models," MPRA Paper 31827, University Library of Munich, Germany.
  20. Gary Koop & Lise Tole, 2013. "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 723-741, 06.
  21. Mumtaz, Haroon, 2010. "Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR," Bank of England working papers 386, Bank of England.
  22. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial Conditions and Density Forecasts for US Output and Inflation," Working Papers 715, Queen Mary, University of London, School of Economics and Finance.
  23. Maximiano Pinheiro & Paulo Esteves, 2012. "On the uncertainty and risks of macroeconomic forecasts: combining judgements with sample and model information," Empirical Economics, Springer, vol. 42(3), pages 639-665, June.
  24. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank, Research Department.
  25. Meredith Beechey & Pär Österholm, 2012. "The Rise and Fall of U.S. Inflation Persistence," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 55-86, September.
  26. Todd E.Clark & Taeyoung Doh, 2011. "A Bayesian evaluation of alternative models of trend inflation," Research Working Paper RWP 11-16, Federal Reserve Bank of Kansas City.
  27. Frank Smets & Raf Wouters, 2004. "Forecasting with a Bayesian DSGE Model: An Application to the Euro Area," Journal of Common Market Studies, Wiley Blackwell, vol. 42(4), pages 841-867, November.
  28. Katerina Smidkova, 2003. "Methods Available to Monetary Policy Makers to Deal with Uncertainty," Macroeconomics 0310002, EconWPA.
  29. Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "On the Evolution of Monetary Policy," Working Paper Series 24-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  30. Baumeister, Christiane & Kilian, Lutz, 2012. "What Central Bankers Need to Know about Forecasting Oil Prices," CEPR Discussion Papers 9118, C.E.P.R. Discussion Papers.
  31. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 377-398.
  32. Koop, Gary & Tole, Lise, 2013. "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 166-181.
  33. Fratzscher, Marcel & Straub, Roland, 2010. "Asset Prices, News Shocks and the Current Account," CEPR Discussion Papers 8080, C.E.P.R. Discussion Papers.
  34. Miguel Belmonte & Gary Koop, 2013. "Model Switching and Model Averaging in Time-Varying Parameter Regression Models," Working Papers 1302, University of Strathclyde Business School, Department of Economics.
  35. Par Osterholm, 2008. "A structural Bayesian VAR for model-based fan charts," Applied Economics, Taylor & Francis Journals, vol. 40(12), pages 1557-1569.
  36. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  37. Kateøina Šmídková, 2005. "How Inflation Targeters (Can) Deal with Uncertainty," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(7-8), pages 316-332, July.
  38. Luca Benati, 2005. "U.K. Monetary Regimes and Macroeconomic Stylised Facts," Computing in Economics and Finance 2005 107, Society for Computational Economics.
  39. Beechey, Meredith, 2004. "Excess Sensitivity and Volatility of Long Interest Rates: The Role of Limited Information in Bond Markets," Working Paper Series 173, Sveriges Riksbank (Central Bank of Sweden).
  40. Mumtaz, Haroon & Zabczyk, Pawel & Ellis, Colin, 2011. "What lies beneath? A time-varying FAVAR model for the UK transmission mechanism," Working Paper Series 1320, European Central Bank.
  41. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
  42. Francois R. Velde, 2004. "Poor hand or poor play? the rise and fall of inflation in the U.S," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 34-51.
  43. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Inflation fan charts, monetary policy and skew normal distribution," Discussion Papers in Economics 13/06, Department of Economics, University of Leicester.