Policy Makers Priors and Inflation Density Forecasts

Marco Vega ()

Econometrics from EconWPA

Abstract: This paper models an inflation forecast density framework that closely resembles actual policy makers behaviour regarding the determination of the modal point, the uncertainty and asymmetry in the inflation forecasts. The framework combines policy makers prior information about these parameters with a standard parametric density estimation technique using Bayesian theory. The combination crucially hinges on an information-theoretic utility function gains of the policy maker from performing the forecast exercise.

Keywords: Monetary Policy; Inflation Targeting; Bayesian Methods (search for similar items in EconPapers)
JEL-codes: C53 E37 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-mac and nep-pol
Date: 2004-03-13
Note: Type of Document - pdf; pages: 32
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0403005

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