Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25403
Authors: 
Cogley, Timothy W.
Morozov, Sergei
Sargent, Thomas J.
Year of Publication: 
2003
Series/Report no.: 
CFS Working Paper 2003/44
Abstract: 
We estimate a Bayesian vector autoregression for the U.K. with drifting coefficients and stochastic volatilities. We use it to characterize posterior densities for several objects that are useful for designing and evaluating monetary policy, including local approximations to the mean, persistence, and volatility of inflation. We present diverse sources of uncertainty that impinge on the posterior predictive density for inflation, including model uncertainty, policy drift, structural shifts and other shocks. We use a recently developed minimum entropy method to bring outside information to bear on inflation forecasts. We compare our predictive densities with the Bank of England's fan charts.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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