Some evidence on the efficacy of the UK inflation targeting regime : an out-of-sample forecast approach
Board of Governors of the Federal Reserve System, 1996 - Business & Economics - 33 pages
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4-quarter ahead forecast actual inflation ahead forecast 1987 Ammer Bank of England BVAR ceteris paribus Chan Huh coefficients credibility of monetary ERM period error band estimated using data favorable inflation outcome Federal Reserve System Finance Discussion Papers forecast errors forecast horizon four-quarter ahead forecast four-quarter-ahead forecast G-7 countries Gregory Mankiw Hence Identical exercises inflation expectations inflation targeting regime interest rate forecast International Finance Discussion lagged values Litterman long-term interest rate low inflation MAE for 4-quarter markets Mean Absolute Errors model consistently over-predicted model expects model's forecast monetary policy stance monetary regime Number obtain a favorable out-of-sample forecast approach parameters pattern percent pound exchange rate quarter of 1990 real GDP recent period retail price index risk premium RMSE RPIX sacrifice ratios sample period short-term interest rate THEIL for 4-quarter Theil statistics Theil's U-statistics tightening to obtain UK inflation targeting UK's under-prediction unemployment rate United Kingdom variables Vector Autoregression wage Zealand