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Evaluating the Bank of England density forecasts of inflation

By Michael P. Clements


We consider evaluating the UK Monetary Policy Committee’s inflation density forecasts using probability integral transform goodness-of-fit tests and measures related to a decision/cost based approach. In implementing the decision-based approach a number of difficulties arise in the absence of full information on payoffs, and when the actual and forecast inflation probabilities may depend on the actions taken in setting interest rates. tion. Journal of Economic Literature classification: C53

Topics: Density forecasts, probability integral transform, decision-based evaluation, infla
Year: 2004
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