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

Masako Ikefuji; Jan R. Magnus; Takashi Yamagata

doi:10.1093/ectj/utad021

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

Masako Ikefuji, Jan R. Magnus, Takashi Yamagata

Econometrics and Data Science

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

A 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.

Original language	English
Pages (from-to)	151-170
Number of pages	20
Journal	Econometrics Journal
Volume	27
Issue number	1
DOIs	https://doi.org/10.1093/ectj/utad021
Publication status	Published - Jan 2024

Bibliographical note

Publisher Copyright:
© The Author(s) 2023. Published by Oxford University Press on behalf of Royal Economic Society.

Funding

This work was financially supported by the JSPS KAKENHI Grants Number JP20H01477, JP21H00700, JP21H04397, and the programme of the Joint Usage/Research Center for Behavioral Economics at ISER, Osaka University.

Funders	Funder number
Japan Society for the Promotion of Science	JP20H01477, JP21H00700, JP21H04397
Osaka University

Keywords

central bank
inflation
Revealed prior

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

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