Title: Censoring and Fat Tails on the Monetary Policy Committee
Authors: James Mitchell - University of Warwick (United Kingdom) [presenting]
Martin Weale - Kings College London (United Kingdom)
Abstract: The study reviews the construction of the Monetary Policy Committee's fan charts, comparing the out of sample performance of fan charts constructed from distributions estimated recursively from past forecast errors with the fan charts that the Committee has actually used. Skewed t-distributions are used to provide a parametric form for the distribution of past forecast errors, and particular attention is paid to the fact that the MPC describes only the central 90 per cent of the error distribution.