Real-time inflation forecast densities from ensemble phillips curves

A popular macroeconomic forecasting strategy takes combinations across many models to hedge against model instabilities of unknown timing; see (among others) Stock andWatson (2004) and Clark and McCracken (2009). In this paper, we examine the effectiveness of recursive-weight and equal-weight combination strategies for density forecasting using a time-varying Phillips curve relationship between inflation and the output gap. The densities reflect the uncertainty across a large number of models using many statistical measures of the output gap, allowing for a single structural break of unknown timing. We use real-time data for the US, Australia, New Zealand and Norway. Our main finding is that the recursive-weight strategy performs well across the real-time data sets, consistently giving well-calibrated forecast densities. The equal-weight strategy generates poorly-calibrated forecast densities for the US and Australian samples. There is little difference between the two strategies for our New Zealand and Norwegian data. We also find that the ensemble modeling approach performs more consistently with real-time data than with revised data in all four countries

Real-time inflation forecast densities from ensemble Phillips curves

We examine the effectiveness of recursive-weight and equal-weight combination strategies for forecasting using many time-varying models of the relationship between inflation and the output gap. The forecast densities for inflation reflect the uncertainty across models using many statistical measures of the output gap, and allow for time-variation in the ensemble Phillips curves. Using real-time data for the US, Australia, New Zealand and Norway, we find that the recursive-weight strategy performs well, consistently giving well-calibrated forecast densities. The equal-weight strategy generates poorly-calibrated forecast densities for the US and Australian samples. There is little difference between the two strategies for our New Zealand and Norwegian data. We also find that the ensemble modelling approach performs more consistently with real-time data than with revised data in all four countries. (C) 2010 Published by Elsevier Inc

The Transparency and Accountability of UK Debt Management: A Proposal

Accountability of UK Debt Management: A Proposal' In this paper, we argue that UK debt management policy is insufficiently transparent and accountable. The debt management objectives are poorly understood and accountable, and partly as a consequence, there is no formal mechanism for performance measurement by the public. We propose a number of institutional reforms designed to improve transparency and accountability. These include the definition of more explicit objectives, an independent Debt Management Office and ex post evaluation of the government's domestic portfolio relative to a benchmark. To illustrate how ex post evaluation would work in practice we examine the efficiency of UK debt management policy over ten fiscal years, from April 1985 to March 1995. In a number of years the actual UK government domestic debt portfolio underperformed the benchmark in terms of standard measures of cost and risk.

The transparency and accountability of UK debt management A proposal

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(no 0028) / BLDSC - British Library Document Supply CentreGBUnited Kingdo