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A structural Bayesian VAR for model-based fan charts
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2008 (English)In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 40, no 12, 1557-1569 p.Article in journal (Refereed) Published
Abstract [en]

Inflation forecast uncertainty is of importance for a wide range of agents in the economy, central banks in particular. Ways to describe and account for this uncertainty in a consistent manner have received increasing attention of late, in part due to the growing number of inflation-targeting central banks. This article develops a large structural VAR for the Swedish economy and estimates it in a Bayesian framework. The methodology permits not only structural interpretation and analysis but offers a natural way to formalize forecast uncertainty, as the posterior predictive density from the model has the interpretation of a fan chart.

Place, publisher, year, edition, pages
2008. Vol. 40, no 12, 1557-1569 p.
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:uu:diva-132325DOI: 10.1080/00036840600843947ISI: 000258915500007OAI: oai:DiVA.org:uu-132325DiVA: diva2:357500
Available from: 2010-10-18 Created: 2010-10-18 Last updated: 2017-12-12Bibliographically approved

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CiteExportLink to record
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