Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/210096 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Working Paper No. 7/2016
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a new method of producing fan charts that better communicates the uncertainty present in forecasts from multivariate time series models. Second, we suggest a new measure for assessing the plausibility of non-central point forecasts. And third, we describe how to use the density forecasts from a multivariate time series model to assess the probability of a set of future events occurring. An additional novelty of this paper is our use of a regime-switching DSGE model with an occasionally binding zero lower bound constraint, estimated on US data, to produce the density forecasts. The tools we off er will allow practitioners to better assess and communicate joint forecast probabilities, a criticism that has been leveled at central bank communications.
Schlagwörter: 
DSGE
Bayesian estimation
monetary policy
fan charts
zero lower bound
regime-switching
JEL: 
C6
C11
C53
E1
E5
E37
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-7553-908-1
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
786.78 kB





Publikationen in EconStor sind urheberrechtlich geschützt.