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Joint Prediction Bands for Macroeconomic Risk Management

Akram, Farooq; Binning, Andrew; Maih, Junior
Working paper
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URI
http://hdl.handle.net/11250/2429267
Date
2016
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [104]
Abstract
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 offer will allow practitioners to better assess and communicate joint forecast probabilities, a criticism that has been leveled at central bank communications.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;5/2016

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