A0701
Title: Monitoring the health of the macroeconomy with a VAR-E dashboard
Authors: Kevin Lee - University of Nottingham (United Kingdom) [presenting]
Kalvinder Shields - University of Melbourne (Australia)
Abstract: The time series properties of output, price inflation, and interest rates can be accurately captured using VAR-Es, vector autoregressive models of actual and expected measures of the series, where the latter are provided by surveys. A method is proposed for estimating VAR-Es that accommodates individuals' real-time understanding of the macroeconomy and that delivers forecasts in a way that is useful to decision-makers. A summary is provided of the sort of statistics and figures that might be reported in a dashboard to monitor the health of the macroeconomy, and this is illustrated using the actual and expected data produced by the Bank of England's decision-maker panel.
