Similar Search Results

Forecast Uncertainty and the Bank of England Interest Rate Decisions

Schultefrankenfeld, Guido - 2016

from the Inflation Report fan charts. I find that interest rate decisions react to deviations of the medium-term forecasts … for inflation from target in order to pursue the inflation target. Forecast inflation uncertainty has a strongly … in forecast uncertainty I find that forecast upward risks to inflation contribute to the intensifying effect of forecast …

Persistent link: https://www.econbiz.de/10012991058

Forecast Uncertainty and the Bank of England Interest Rate Decisions

Schultefrankenfeld, Guido - 2015

directly from the Inflation Report fan charts. I find that forecast inflation uncertainty strongly intensifies the reaction of … the interest rate decisions to a forecast deviation of inflation from target. Conversely, forecast output growth …. Asymmetries in forecast uncertainty are highly relevant for inflation. Forecast upward risks to inflation contribute strongly to …

Persistent link: https://www.econbiz.de/10013019023

The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...

Persistent link: https://www.econbiz.de/10011443536

The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

Persistent link: https://www.econbiz.de/10011554324

Inflation uncertainty and disagreement in bond risk premia

D'Amico, Stefania; Orphanides, Athanasios - 2014

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

Persistent link: https://www.econbiz.de/10010441139

Subjective Interest Rate Uncertainty and the Macroeconomy : A Cross-Country Analysis

Istrefi, Klodiana - 2016

We ask whether uncertainty about interest rates is important for economic activity. Causal effects of uncertainty on the economy are examined through the lens of a small VAR where the assumption that uncertainty and real activity cannot contemporaneously react to each other is indeed in line...

Persistent link: https://www.econbiz.de/10012999098

Subjective Interest Rate Uncertainty and the Macroeconomy : A Cross-Country Analysis

Istrefi, Klodiana - 2017

We ask whether uncertainty about interest rates is important for economic activity. Effects of interest rate uncertainty on the economy are examined through the lens of a small VAR where the assumption that uncertainty can affect real activity contemporaneously but not vice versa is indeed in...

Persistent link: https://www.econbiz.de/10012964352

The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom : evidence from over 150 years of data

Gupta, Rangan; Wohar, Mark E. - In: Economics and Business Letters : EBL 8 (2019) 3, pp. 138-146

Persistent link: https://www.econbiz.de/10012156567

Modeling Uncertainty : Predictive Accuracy as a Proxy for Predictive Confidence

Rich, Robert W.; Tracy, Joseph S. - 2006

from data on inflation forecasts from the Survey of Professional Forecasters. The results provide little evidence of a …

Persistent link: https://www.econbiz.de/10014089508

Systemic risk and the refinancing ratchet effect

Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - 2009 - This draft: September 13, 2009

The confluence of three trends in the U.S. residential housing market - rising home prices, declining interest rates, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...

Persistent link: https://www.econbiz.de/10003889053