Calibration and Resolution Diagnostics for Bank of England Density Forecasts

John Galbraith and Simon van Norden ()

CIRANO Working Papers from CIRANO

Abstract: This paper applies new diagnostics to the Bank of England's pioneering density forecasts (fan charts). We compute their implicit probability forecast for annual rates of inflation and output growth that exceed a given threshold (in this case, the target inflation rate and 2.5% respectively.) Unlike earlier work on these forecasts, we measure both their calibration and their resolution, providing both formal tests and graphical interpretations of the results. These results both reinforce earlier evidence on some of the limitations of these forecasts and provide new evidence on their information content. Cet étude développe et applique des nouvelles techniques pour diagnostiquer les prévisions de densité de la Banque d'Angleterre (leur fan charts). Nous calculons leurs probabilités implicites pour des taux d'inflation et de croissance du PIB qui dépassent des seuils critiques (soit le taux d'inflation ciblé, soit 2.5%.) En contraste avec des travaux antérieurs sur ces prévisions, nous gaugeons leur calibration aussi bien que leur résolution, en donnant des tests formels et des interprétations graphiques. Les résultats renforcent des conclusions déjà existant sur les limites de ces prévisions et ils donnent de nouvelles évidences sur leurs valeurs ajoutées.

Keywords: calibration; density forecast; probability forecast; resolu; calibration; prévisions de densité; probabilités implicites; résolution. (search for similar items in EconPapers)
Date: 2009-08-01
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cir:cirwor:2009s-36

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