We present simulation results for the likely pension outcomes for different defined-contribution (DC) pension plan members distinguished by occupation and gender. While our results suggest that key differences between outcomes depend on the strategic asset allocation strategy chosen (and hence...

This paper presents some simple methods to estimate the probability that realized inflation will breach a given inflation target range over a specified period, based on the Bank of England?s RPIX inflation forecasting model and the Monetary Policy Committee?s forecasts of the parameters on which...

This paper evaluates the inflation density forecasts published by the Swedish central bank, the Sveriges Riksbank. Realized inflation outcomes are mapped to their forecasted percentiles, which are then transformed to be standard normal under the null that the forecasting model is good. Results...

This paper presents a new approach to the evaluation of FOMC macroeconomic forecasts. Its distinctive feature is the interpretation, under reasonable conditions, of the minimum and maximum forecasts reported in FOMC meetings as indicative of probability density forecasts for these variables....

Existing models of currency competition and monetary union ignore network effects and switching costs. This paper develops a simple model that incorporates these features and shows how it can be used to shed light on observed monetary experience and current issues in international monetary...

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties....