TAILIEUCHUNG - Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters

In the next section, we offer an overview of the economic logic behind microfinance institutions, describe how the movement from socially oriented non-profit microfinance institutions to for-profit microfinance has occurred, and lay out some of the unanswered questions about the role of commercialization in microfinance. We then seek answers to some of these questions by drawing on a data set that includes most of the world’s leading microfinance institutions. The evidence suggests that investors seeking pure profits would have little interest in most of the institutions we see that are now serving poorer customers. This evidence, and. | Working Paper No. 450 Forecasting UK GDP growth inflation and interest rates under structural change a comparison of models with time-varying parameters Alina Barnett Haroon Mumtaz and Konstantinos Theodoridis May 2012 Working papers describe research in progress by the author s and are published to elicit comments and to further debate. Any views expressed are solely those of the author s and so cannot be taken to represent those of the Bank of England or to state Bank of England policy. This paper should therefore not be reported as representing the views of the Bank of England or members of the Monetary Policy Committee or Financial Policy Committee. BANK OF ENGLAND Working Paper No. 450 Forecasting UK GDP growth inflation and interest rates under structural change a comparison of models with time-varying parameters Alina Barnett 1 Haroon Mumtaz1 2 and Konstantinos Theodoridis 3 Abstract Evidence from a large and growing empirical literature strongly suggests that there have been changes in inflation and output dynamics in the United Kingdom. This is largely based on a class of econometric models that allow for time-variation in coefficients and volatilities of shocks. While these have been used extensively to study evolving dynamics and for structural analysis there is little evidence on their usefulness in forecasting UK output growth inflation and the short-term interest rate. This paper attempts to fill this gap by comparing the performance of a wide variety of time-varying parameter models in forecasting output growth inflation and a short rate. We find that allowing for time-varying parameters can lead to large and statistically significant gains in forecast accuracy. Key words Time-varying parameters stochastic volatility VAR FAVAR forecasting Bayesian estimation. JEL classification C32 E37 E47. 1 External MPC Unit. Bank of England. Email 2 Centre for Central Banking Studies. Bank of England. Email .

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