In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a new method of producing fan charts that better communicates the uncertainty...

This study empirically investigates how shocks to monetary policy measures (short-term nominal interest rate and broad money supply) affect economic aggregates: output growth, price levels and nominal exchange rate. The study is carried out for Pakistan using quarterly data covering the period...

Romer and Romer (1989, 1994) adopted a "narrative approach" to address the identification problems in time series models of monetary policy. Based on Federal Reserve documents, the Romers created a dummy variable equal to one in periods when the Federal Reserve contracted to offset inflationary...