Bank of England paper details VAR model for inflation forecast revisions
The Bank of England has published a working paper detailing how structural vector autoregressive (VAR) models can support forecast analysis. The paper by Davide Brignone and Michele Piffer focuses on UK inflation forecast revisions.
A unified framework for forecast analysis
A unified framework is presented, formalising how structural vector autoregressive (VAR) models support forecast analysis by explaining real-time statistics like forecast errors and subsequent revisions.
Unpacking the UK inflation surge
A UK real-time exercise on the post-pandemic inflation surge illustrates the method.
It showed inflation forecasts were revised upwards due to contractionary supply, expansionary demand, and past shock revisions.
Source: Structural forecast analysis
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