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  • Analytický komentár

Putting new fan-charts into use

  • Vávra Marián
25 sep 2018
Due to uncertainty surrounding point forecasts, many central banks nowadays calculate and officially publish prediction intervals (in the form of fan-charts) for key macroeconomic variables in order to express and communicate perceived forecast risks to professionals and the general public.1 Gaussian prediction bands have become a workhorse in fan-chart modelling.2 Apart from being intuitive and easy to calculate, Gaussian-like prediction bands suffer from several shortcomings, which make them inconsistent (from the econometric standpoint) and unreliable (from the policy standpoint). A new system of fan-charts, based on empirical quantiles, is briefly discussed in this note.