The purpose of this article is to describe how inflation analysis and forecasting has been carried out in the Bank, with particular emphasis on recent research and the new challenges facing the Bank following the launch of the euro on 1 January 1999. Broadly speaking the approach adopted by the Bank over a number of years has been an eclectic one which combines judgement and a range of formal a...

1 Chris Laing, Southampton Institute, Technology Faculty, Southampton, SO14 0YN, UK, [email protected] 2 Alan Robinson, Southampton Institute, Technology Faculty, Southampton, SO14 0YN, UK, [email protected] Abstract  Previously it has been proposed that explanations of non-traditional withdrawal might be defined by the underlying characteristics of the teaching and learn...

Using a state-space system, I forecasted the US Treasury yields by employing frequentist and Bayesian methods after first decomposing of varying maturities into its unobserved term structure factors. Then, exploited model to forecast yields, compared performance each using metric - mean squared error, as loss function. Among methods, applied two-step Diebold-Li, principal components, one-step K...

This paper investigates the effect of a positive technology shock on per capita hours worked within the class of Bayesian Vector Auto-Regressive [BVAR] models. Such a framework avoids the current debate regarding the specification issue of per capita hours [level versus first-difference stationary]. Six priors are considered and for each, we examine the impulse responses of per capita hours fol...

This paper aims at analysing the dynamic properties of real wages over the business cycle. We apply a Bayesian vector autoregressive (BVAR) model and analyse the possible asymmetric behaviour of real wages in response to different macroeconomic shocks. Finally, we use the NBER business cycle periodisation to evaluate how real wages interact with the different shocks during contractions and boom...

In this paper we propose a method to produce density forecasts of the term structure of government bond yields which takes into account (i) the possible mispeci…cation of an underlying Gaussian A¢ ne Term Structure Model (GATSM) and (ii) the time varying volatility of interest rates. In order to do so we derive a Bayesian prior from a GATSM and use it to estimate the coe¢ cients of a BVAR for t...

The paper presents an applied study of a multivariate AR(p) process fitted to daily data from U.S. commodity futures markets with the use of Bayesian statistics. In the first part a detailed description of the methods used is given. In the second part two BVAR models are chosen one with assumption of lognormal, the second with normal distribution of prices conditioned on the parameters. For a c...