Ex-post Inflation Forecast Uncertainty and Skew Normal Distribution: ‘Back from the Future’ Approach

Wojciech Charemza, Carlos Díaz () and Svetlana Makarova ()

No 15/09, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: Empirical evaluation of macroeconomic uncertainty and its use for probabilistic forecasting are investigated. New indicators of forecast uncertainty, which either include or exclude effects of macroeconomic policy, are developed. These indicators are derived from the weighted skew normal distribution proposed in this paper, which parameters are interpretable in relation to monetary policy outcomes and actions. This distribution is fitted to forecast errors, obtained recursively, of annual inflation recorded monthly for 38 countries. Forecast uncertainty term structure is evaluated for U.K. and U.S. using new indicators and compared with earlier results. This paper has supplementary material.

Keywords: forecast term structure; macroeconomic forecasting; monetary policy; non-normality (search for similar items in EconPapers)
JEL-codes: C54 E37 E52 (search for similar items in EconPapers)
Date: 2015-05
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: TERM STRUCTURE OF INFLATION FORECAST UNCERTAINTIES AND SKEW NORMAL DISTRIBUTIONS (2014)
Working Paper: Inflation fan charts, monetary policy and skew normal distribution (2013)
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