Title: On the reliability of Central Banks' fancharts: Calibration of density path forecasts
Authors: Giulia Mantoan - University of Warwick (United Kingdom) [presenting]
Ana Galvao - University of Warwick (United Kingdom)
James Mitchell - University of Warwick (United Kingdom)
Abstract: Central Banks regularly publish fan charts of macroeconomic variables, communicating forecasts for several horizons. However, fan charts contain three types of information: point forecasts (the path), likelihood of the path (bands around it), and variable's dynamics across horizons. Existing absolute evaluation approaches neglect the latter. Practitioners indeed evaluate the calibration of fan charts testing the forecast accuracy horizon by horizon, not considering any time-dependency among them. Fan charts are described as density path forecasts, the impact of time-dependence in the evaluation is discussed, and calibration tests are proposed to assess whether or not Central Banks publishes reliable forecasts.