In this study, we build and use a factor-augmented vector autoregressive (FAVAR) model to forecast inflation and output … better forecasters of some macroeconomic variables, especially inflation. We acknowledge that the results might be affected …

in forecasting future inflation. We find that non-linear models have trivial forecast superiority over the univariate …

macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate … predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error … also shown to hold over the most recent period in which it has been hard to forecast inflation. …

intervals. Probability forecasts relating to UK output growth and inflation, obtained using a small macroeconometric model, are … presented. We discuss in detail the probability that inflation will fall within the Bank of England's target range and that … insights on the interrelatedness of output growth and inflation outcomes at different horizons. …