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Incorporating Judgement in Fan Charts

Pär Österholm

No 2006:30, Working Paper Series from Uppsala University, Department of Economics

Abstract: Within a decision-making group, such as the monetary-policy committee of a central bank,group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent’s judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system, and accordingly, a particular predictive density – or fan chart – associated with it. A weighted linear combination of the predictive densities yields a final predictive density that correctly reflects the uncertainty perceived by the agents generating the forecast. In a model-based environment, this framework allows judgement to be incorporated into fan charts in a formalised manner.

Keywords: Forecasts; Predictive density; Linear opinion pool (search for similar items in EconPapers)
JEL-codes: C15 C53 E17 E50 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2006-11-20
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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http://uu.diva-portal.org/smash/get/diva2:47313/FULLTEXT01.pdf (application/pdf)

Related works:
Journal Article: Incorporating Judgement in Fan Charts (2009) Downloads
Working Paper: Incorporating judgement in fan charts (2006) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:uunewp:2006_030

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