Revealing priors from posteriors with an application to inflation forecasting in the UK

B-Tier
Journal: The Econometrics Journal
Year: 2024
Volume: 27
Issue: 1
Pages: 151-170

Authors (3)

Masako Ikefuji (not in RePEc) Jan R Magnus (not in RePEc) Takashi Yamagata (University of York)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

SummaryA 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.

Technical Details

RePEc Handle
repec:oup:emjrnl:v:27:y:2024:i:1:p:151-170.
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-29