Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/41689
Title: Extracting the Information Shocks from the Bank of England Inflation Density Forecasts
Authors: Díaz, Carlos
First Published: 10-Dec-2017
Publisher: Wiley
Citation: Journal of Forecasting, 2018, 37(3) pp. 316-326
Abstract: This paper shows how to extract the density of the information shocks from the revisions of the Bank of England’s inflation density forecasts. An information shock is defined in this paper as a random variable that contains the set of information made available between two consecutive forecasting exercises and that has been incorporated into a revised forecast for a fixed point event. Studying the moments of these information shocks can be useful to understand how the Bank has changed its assessment of risks surrounding inflation in the light of new information, and how it has modified its forecasts accordingly. The variance of the information shock is interpreted in this paper as a new measure of ex-ante inflation uncertainty, that measures the uncertainty that the Bank anticipates that information perceived in a particular quarter will pose on inflation. A measure of information absorption that indicates the approximate proportion of the information content in a revised forecast that is attributable to information made available since the last forecast release is also proposed.
DOI Link: 10.1002/for.2501
ISSN: 0277-6693
eISSN: 1099-131X
Links: https://onlinelibrary.wiley.com/doi/abs/10.1002/for.2501
http://hdl.handle.net/2381/41689
Embargo on file until: 10-Dec-2019
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2018, Wiley. Deposited with reference to the publisher’s open access archiving policy. (http://www.rioxx.net/licenses/all-rights-reserved)
Description: The file associated with this record is under embargo until 24 months after publication, in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.
Appears in Collections:Published Articles, Dept. of Economics

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