BoE paper offers method to build narrative around forecasts
Process could support use of SVAR models in monetary policy process
A Bank of England paper has outlined a way of constructing a narrative to explain forecast errors and revisions that could make models more useful for monetary policy-making.
In the working paper, published on January 9, Davide Brignone and Michele Piffer show how to build a narrative around the results of a structural vector autoregression (SVAR) model. “Structural analysis”, they say, allows economists to break down the combination of shocks, lagged effects and model assumptions that led to
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