A probabilistic forecast is the estimated probability with which a future event will occur. One interesting feature of such forecasts is their calibration, or the match between the predicted probabilities and the actual outcome probabilities. Calibration has been evaluated in the past by...

This paper applies new diagnostics to the Bank of England's pioneering density forecasts (fan charts). We compute their implicit probability forecast for annual rates of inflation and output growth that exceed a given threshold (in this case, the target inflation rate and 2.5% respectively.)...

A probabilistic forecast is the estimated probability with which a future event will satisfy a specified criterion. One interesting feature of such forecasts is their calibration, or the match between predicted probabilities and actual outcome probabilities. Calibration has been evaluated in the...

Recent work on policy rules under uncertainty have highlighted the impact of output gap measurement errors on economic outcomes and their importance in the formulation of appropriate policy rules. This paper investigates the reliability of current estimates of the output gap in Canada. We begin...

Our paper uses simulation methods to examine the size and power of regime-switching tests for bubbles. We find that even with several hundred observations, the tests show sometimes considerable size distortion. This distortion makes the tests conservative; they understate the significance of the...

The surge in fiscal deficits since 2008 has put a renewed focus on the authors’ understanding of fiscal policy. The interaction of fiscal and monetary policy during this period has also been the subject of much discussion and analysis. This paper gives new insight into past fiscal policy and...