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• W2153344942 abstract "The paper proposes a new statistical distribution, named the weighted skew normal distribution, designed for empirical evaluation of macroeconomic uncertainties. It identifies the elements of ontological uncertainty, related to pure randomness (unpredictability) of future events and epistemic uncertainty, expressing incomplete or biased knowledge of forecasters. Its parameters are interpretable in relation to monetary policy outcomes and actions. The distribution is fitted to forecast errors for monthly and annual inflation obtained for 38 countries for data starting at different periods from January 1949 and ending at February 2013. High and significant correlations of a simple uncertainty measure developed using these forecast errors with other indices of uncertainty have been found. It is also found out that weighted skew normal distribution fits the forecasts errors better than usually applied by central bankers’ two-piece normal distribution. A measure of monetary policy outcomes developed with the use of the parameters estimated appears to be slightly correlated with indicators of central banks independence and autonomy across 38 countries. Applicability of the distribution is illustrated by fan charts constructed with its use for UK and Poland." @default.
• W2153344942 created "2016-06-24" @default.
• W2153344942 creator A5007548398 @default.
• W2153344942 creator A5014642766 @default.
• W2153344942 creator A5066506385 @default.
• W2153344942 date "2013-04-02" @default.
• W2153344942 modified "2023-09-27" @default.
• W2153344942 title "INFLATION FAN CHARTS, MONETARY POLICY AND SKEW NORMAL DISTRIBUTIONS" @default.
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• W2153344942 hasPublicationYear "2013" @default.
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