BoE publishes SVAR model in response to Bernanke review
Flexible model designed to provide “structural narrative” to understand forecast revisions
The Bank of England has unveiled a structural vector autoregression (SVAR) model that addresses some of the criticisms raised in Ben Bernanke’s review of the bank’s forecasting.
In a paper published on July 18, BoE economists Davide Brignone and Michele Piffer describe the main features of the model and how it can be used by policy-makers to understand forecast errors.
The authors note that SVAR models impose some structure on purely econometric vector autoregression models, making it easier to
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