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商品价格与通胀风险AI 解读

Summary This paper investigates the role of commodity price information when evaluating inflation risk. Using a model averaging approach, we provide strong evidence of in‐sample and out‐of‐sample predictive ability from commodity prices and convenience yields to inflation, establishing clear point and density forecast performance gains when incorporating disaggregated commodities price information. The resulting forecast densities are used to calculate the (ex‐ante) risk of…

模型不确定性下利用英国货币总量进行实时预测AI 解读

A popular account for the demise of the U.K.’s monetary targeting regime in the 1980s blames the fluctuating predictive relationships between broad money and inflation and real output growth. Yet ex post policy analysis based on heavily revised data suggests no fluctuations in the predictive content of money. In this paper, we investigate the predictive relationships for inflation and output growth using both real-time and heavily revised data. We consider a large set of…

宏观经济建模中的预测不确定性AI 解读

Weargue that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a straightforward manner that is preferable to other alternatives, including the use of confidence intervals. Probability forecasts obtained using a small benchmark macroeconometric model and a number of other alternatives are presented and evaluated using recursive forecasts generated over the period 1999q1–2001q1. Out-of-sample probability forecasts of…