Revealing priors from posteriors with an application to inflation forecasting in the UK

IF 2.9 4区经济学 Q1 ECONOMICS

Econometrics Journal Pub Date : 2023-10-03 DOI:10.1093/ectj/utad021

Masako Ikefuji, Jan R Magnus, Takashi Yamagata

引用次数: 0

Abstract

Abstract A Bayesian typically uses data and a prior to produce a posterior. We shall follow the opposite route, using data and the posterior information to reveal the prior. We then apply this theory to inflation forecasts by the Bank of England and the National Institute of Economic and Social Research in an attempt to get some insight into the prior beliefs of the policy makers in these two institutions, especially under the uncertainties about the Brexit referendum, the Covid-19 lockdown, and the Russian invasion of Ukraine.

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英国通胀预测的前因后果分析

贝叶斯通常使用数据和先验来产生后验。我们将遵循相反的路线，使用数据和后验信息来揭示先验。然后，我们将这一理论应用于英格兰银行和国家经济与社会研究所的通胀预测，试图深入了解这两个机构的政策制定者的先验信念，特别是在英国退欧公投、新冠肺炎封锁和俄罗斯入侵乌克兰等不确定因素的情况下。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometrics Journal 管理科学-数学跨学科应用

CiteScore

4.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.