Gianna Boero

Uncertainty and Disagreement in Economic Prediction: The Bank of England Survey of External Forecasters*

This article introduces a new source of survey data, namely the Bank of England Survey of External Forecasters. The survey collects point and density forecasts of inflation and GDP growth, and hence offers the opportunity of constructing direct measures of uncertainty. We present a simple statistical framework in which to define and interrelate measures of uncertainty and disagreement. The resulting measures are compared with other direct measures of uncertainty, nationally and internationally. A significant, sustained reduction in inflation uncertainty followed the 1997 granting of operational independence to the Bank of England to pursue a monetary policy of inflation targeting.

Graduates and graduate labour markets in the UK and Italy

Education, and not least higher education, has been at the forefront of public policy discussion and government policy making in the UK in recent years. A large number of educational reforms have already been implemented and others are pending. Similarly, in Italy significant reform packages have been proposed. In the context of the ongoing higher education debates in these two countries, this chapter addresses a number of empirical questions pertaining to the UK and Italy. When relevant to policy discussions, and when the data permit, we draw conclusions about similarities and differences between the two cases.

The information in the term structure of German interest rates

This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new data for Germany. The German term structure appears to forecast future short-term interest rates surprisingly well, compared with previous studies with US data, while it has lower predictive power for long-term interest rates. However, the direction suggested by the coefficient estimates is consistent with that implied by the EH, that is when the term spread widens, long rates increase. The use of instrumental variables to deal with possible measurement errors in the data significantly improves regressions for the long rates. Moreover, re-estimation with proxy variables to account for the possibility of time-varying term premia confirms that the evolution of both short and long rates corresponds to the predictions of the EH and that most of the information is in the term spread. These results are important as they suggest that monetary policy in Germany could be guided by the slope of the term structure.

The Sensitivity of Chi-Squared Goodness-of-Fit Tests to the Partitioning of Data

Abstract The power of Pearsons overall goodness-of-fit test and the components-of-chi-squared or “Pearson analog” tests of Anderson [Anderson, G. (1994). Simple tests of distributional form. J. Econometrics 62:265–276] to detect rejections due to shifts in location, scale, skewness and kurtosis is studied, as the number and position of the partition points is varied. Simulations are conducted for small and moderate sample sizes. It is found that smaller numbers of classes than are used in practice may be appropriate, and that the choice of non-equiprobable classes can result in substantial gains in power.

Here is the News: Forecast Revisions in the Bank of England Survey of External Forecasters

This article analyses the forecasts of inflation and GDP growth by the individual respondents to the Bank of Englands quarterly Survey of Extternal Forecasters, 1996-2005, using a recently released dataset. This comprises a conventioanl incomplete panel dataset, with an additional dimension arising from the collection of repeated forecasts for the last quarter of each year. This fixed-event forecast structure allows study of the forecast revision process, its weak and strong efficiency, and its relation to macroeconomic news. The collection of density forecasts as well as point forecasts allows study of the revision process of forecast uncertainty