Bayesian Fan Charts for U.K. Inflation: Forecasting and Sources of Uncertainty in an Evolving Monetary System

By Timothy Cogley, S. Morozov, Thomas J. Sargent. 2005

178 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/86538fc7c3f214772414fdbb366e19099b115fab

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Haroon Mumtaz
2. Todd E. Clark
3. Gary Koop
4. Lise Tole
5. P. Surico
6. Francesco Bianchi
7. Joshua C. C. Chan
8. Barbara Rossi

In Ocean Engineering

1. Lise Tole
2. Gary Koop
3. Todd E. Clark
4. Haroon Mumtaz
5. Francesco Bianchi
6. P. Surico

Citations in the corpus

• A MIDAS Approach to Modeling First and Second Moment Dynamics (2016, unknown): “We use the simpler SV volatility specification in our benchmark to reflect the popularity of this approach in empirical work; see Cogley et al. (2005), D'Agostino et al. (2013), Stock and Watson (2007), as well as the empirical evidence reported in Clark and Ravazzolo (2014).”
• Forecasting with Bayesian Vector Autoregression (2013, unknown): “See Cogley et al. (2005) for a discussion of these issues.”
• The great moderation of the term structure of UK interest rates (2009, methodology): “…construct an approximate measure of trend real activity y t using the recursion y t = y t 1 + 0:075 yt y t 1 where yt denotes industrial production and ~yt = yt y t : As discussed in Cogley et al. (2005), the time-varying dynamics in the VAR re ne this initial guess of the trend in real activity.”
• Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts (2014, unknown): “Cogley, Morozov, and Sargent (2005) used tilting to produce BVAR forecasts that conditioned on information in the Bank of England’s forecast.”
• Forecasting the European carbon market (2013, methodology): “The TVP regression model is a state space model of the sort that is commonly used in empirical macroeconomics (see, for example, among many others, Cogley and Sargent (2005), Cogley et al. (2005) and Primiceri (2005)).”
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility (2011, methodology): “For each (retained) draw in the MCMC chain, I draw forecasts from the posterior distribution using an approach similar to that of Cogley, Morozov, and Sargent (2005).”