Ikefuji, Masako, Magnus, Jan and Yamagata, Takashi orcid.org/0000-0001-5949-8833 (2024) Revealing priors from posteriors with an application to inflation forecasting in the UK. Econometrics Journal. pp. 151-170. ISSN 1368-4221
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © The Author(s) 2023 |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 25 Jul 2023 13:10 |
Last Modified: | 06 Nov 2024 01:52 |
Published Version: | https://doi.org/10.1093/ectj/utad021 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1093/ectj/utad021 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:201813 |
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Description: Revealing priors from posteriors with an application to inflation forecasting in the UK
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