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National Repository of Grey Literature

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Are Bayesian fan charts useful for central banks?: uncertainty, forecasting, and financial stability stress tests Franta, Michal ; Baruník, Jozef ; Horváth, Roman ; Šmídková, Kateřina This paper shows how fan charts generated from Bayesian vector autoregression (BVAR) models can be useful for assessing 1) the forecasting accuracy of central banks’ prediction models and 2) the credibility of stress tests carried out to evaluate financial stability. Fulltext: PDF Detailed record

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