BoE paper adds time-varying parameters to DSGE model

Bank of England
The Bank of England
Daniel Hinge

Economists at the Bank of England have applied a method of modelling that allows parameters to vary over time, improving their forecasts of the UK economy.

A time varying parameter structural model of the UK economy by Katerina Petrova, George Kapetanios, Riccardo Masolo and Matthew Waldron focuses on allowing the model to adapt to changes in the structure of the economy. There is plenty of evidence this has happened in the UK in recent decades, the authors write, so holding parameters constant

To continue reading...

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: