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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. .

Suggested Citation

  • Pär Osterholm, 2009. "Incorporating Judgement in Fan Charts," Scandinavian Journal of Economics, Wiley Blackwell, vol. 111(2), pages 387-415, June.
  • Handle: RePEc:bla:scandj:v:111:y:2009:i:2:p:387-415
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. P&aauml;r Österholm & 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.
    2. Aronsson, Thomas & Blomquist, Sören & Micheletto, Luca, 2007. "Where Should the Elderly Live and Who Should Pay for their Care? A Study in Demographics and Geographical Economic," Umeå Economic Studies 702, Umeå University, Department of Economics.
    3. Ohlsson, Henry, 2009. "The legacy of the Swedish gift and inheritance tax, 1884-2004," Working Paper Series, Center for Fiscal Studies 2009:13, Uppsala University, Department of Economics.
    4. Gustafsson, Peter & Stockhammar, Pär & Österholm, Pär, 2016. "Macroeconomic effects of a decline in housing prices in Sweden," Journal of Policy Modeling, Elsevier, pages 242-255.
    5. Ohlsson, Henry, 2007. "The legacy of the Swedish gift and inheritance tax, 1884–2004," Working Paper Series 2007:23, Uppsala University, Department of Economics.
    6. Österholm, Pär, 2012. "The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession," Journal of Macroeconomics, Elsevier, pages 76-86.
    7. Gustafsson, Peter & Stockhammar, Pär & Österholm, Pär, 2016. "Macroeconomic effects of a decline in housing prices in Sweden," Journal of Policy Modeling, Elsevier, pages 242-255.
    8. Sören Blomquist & Vidar Christiansen & Luca Micheletto, 2010. "Public Provision of Private Goods and Nondistortionary Marginal Tax Rates," American Economic Journal: Economic Policy, American Economic Association, pages 1-27.
    9. Ohlsson, Henry, 2011. "The legacy of the Swedish gift and inheritance tax, 1884–2004," European Review of Economic History, Cambridge University Press, vol. 15(03), pages 539-569, December.
    10. Sören Blomquist & Vidar Christiansen & Luca Micheletto, 2010. "Public Provision of Private Goods and Nondistortionary Marginal Tax Rates," American Economic Journal: Economic Policy, American Economic Association, pages 1-27.

    More about this item

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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