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The Bank of England's forecasting platform: COMPASS, MAPS, EASE and the suite of models
Burgess, Stephen; Fernandez-Corugedo, Emilio; Groth, … - Bank of England - 2013
This paper introduces the Bank of England's new forecasting platform and provides examples of how it can be applied to … practical forecasting problems. The platform consists of four components: COMPASS, a structural central organising model; a …
Persistent link: https://www.econbiz.de/10005086585
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Measuring monetary policy expectations from financial market instruments
Joyce, Michael; Relleen, Jonathan; Sorensen, Steffen - Bank of England - 2008
This paper reviews the main instruments and associated yield curves that can be used to measure financial market participants' expectations of future UK monetary policy rates. We attempt to evaluate these instruments and curves in terms of their ability to forecast policy rates over the period...
Persistent link: https://www.econbiz.de/10004992448
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Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters
Barnett, Alina; Mumtaz, Haroon; Theodoridis, Konstantinos - Bank of England - 2012
structural analysis, there is little evidence on their usefulness in forecasting UK output growth, inflation and the short … models in forecasting output growth, inflation and a short rate. We find that allowing for time-varying parameters can lead …
Persistent link: https://www.econbiz.de/10010704383
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - Bank of England - 2015
their ability to capture expected returns. We assess the forecasting performance of two popular approaches to estimating …
Persistent link: https://www.econbiz.de/10011122772
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Exploiting the monthly data flow in structural forecasting
Giannone, Domenico; Monti, Monti , Francesca; Reichlin, … - Bank of England - 2014
This paper shows how and when it is possible to obtain a mapping from a quarterly dynamic stochastic general …
Persistent link: https://www.econbiz.de/10011070877
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Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve
Joyce, Michael; Kaminska, Iryna; Lildholdt, Peter - Bank of England - 2008
Long-horizon interest rates in the major international bond markets fell sharply during 2004 and 2005, at the same time as US policy rates were rising; a phenomenon famously described as a 'conundrum' by Alan Greenspan the Federal Reserve Chairman. But it was arguably the decline in...
Persistent link: https://www.econbiz.de/10005435687
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Statement of principles / Bank of England
Bank of England - 1993
Persistent link: https://www.econbiz.de/10000619493
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Quarterly bulletin / Bank of England
Bank of England; Bank of England / Economic … - London : Bank of England Publ. Group; 1961-1979: London …; … - 1.1960/61(1961) -volume 55, no. 4 (2015)
Persistent link: https://www.econbiz.de/10000366272