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Probabilistic Interest Rate Setting With A Shadow Board: A Description Of The Pilot Project

Listed author(s):
  • TIMO HENCKEL
  • SHAUN VAHEY
  • LIZ WAKERLY

This study aims to assess the scope for monetary policymakers to aggregate probabilistic interest rate advice. The members of a Shadow Board give probabilistic assessments of the appropriate (target) interest rate for Australia in real time. The pilot project will be running each month from August to December (inclusive) 2011, with the Shadow Board giving advice shortly before each decision by the Reserve Bank of Australia (RBA) Board.

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File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2017-02/27_henckel_vahey_wakerly_2011.pdf
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Paper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2011-27.

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Length: 16 pages
Date of creation: Aug 2011
Handle: RePEc:een:camaaa:2011-27
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Web page: http://cama.crawford.anu.edu.au
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  1. Anne Sibert, 2003. "Monetary Policy Committees: Individual and Collective Reputations," Review of Economic Studies, Oxford University Press, vol. 70(3), pages 649-665.
  2. Frederic S. Mishkin, 2009. "Monetary Policy Strategy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262513374, July.
  3. Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2010. "Combining forecast densities from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 621-634.
  4. Anne Sibert, 2006. "Central Banking by Committee," International Finance, Wiley Blackwell, vol. 9(2), pages 145-168, 08.
  5. Roopesh Ranjan & Tilmann Gneiting, 2010. "Combining probability forecasts," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(1), pages 71-91.
  6. Carin van der Cruijsen & David-Jan Jansen & Jakob de Haan, 2015. "How Much Does the Public Know about the ECB’s Monetary Policy? Evidence from a Survey of Dutch Households," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 169-218, December.
  7. Christian Kascha & Francesco Ravazzolo, 2010. "Combining inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 231-250.
  8. Kenneth F. Wallis, 2005. "Combining Density and Interval Forecasts: A Modest Proposal," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 983-994, December.
  9. Helge Berger & Michael Ehrmann & Marcel Fratzscher, 2011. "Monetary Policy in the Media," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(4), pages 689-709, 06.
  10. Petra M. Geraats, 2007. "The Mystique of Central Bank Speak," International Journal of Central Banking, International Journal of Central Banking, vol. 3(1), pages 37-80, March.
  11. Anke Weber, 2010. "Monetary Policy Committees, Learning and Communication," IMF Working Papers 10/85, International Monetary Fund.
  12. Helge Berger & Michael Ehrmann & Marcel Fratzscher, 2011. "Monetary Policy in the Media," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(4), pages 689-709, 06.
  13. Helge Berger & Michael Ehrmann & Marcel Fratzscher, 2011. "Monetary Policy in the Media," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(4), pages 689-709, 06.
  14. Robert L. Winkler, 1968. "The Consensus of Subjective Probability Distributions," Management Science, INFORMS, vol. 15(2), pages 61-75, October.
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