Back testing fan charts of activity and inflation: the Chilean case

Jorge Fornero and Andres Gatty ()

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: Any forecast has associated a measure of predictive uncertainty. The Central Bank of Chile (CBoC) communicates with fan charts the projections’ uncertainty of inflation and GDP growth in the Monetary Policy Report (MPR). This work aims at evaluating ex post their properties with empirical techniques. In general, we find that fan charts have been a relatively accurate in illustrating the true density generated by the conditional mean within forecasting horizons of up to one year. While inflation forecasts are unbiased, forecasts of GDP growth have been optimistic on average. The analysis of a recent sub-sample in which risks for GDP growth was made explicit, we graphically examine whether asymmetric fan charts are more accurate ex –post than symmetric fan charts. For these cases, the median projection seem to have provided a better guide than the mode.

Date: 2020-06
New Economics Papers: this item is included in nep-cba, nep-for and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bcentral.cl/documents/33528/133326/DTBC_881.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:881

Access Statistics for this paper

More papers in Working Papers Central Bank of Chile from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Alvaro Castillo ().