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Forecast Summary 2016

Key Highlights:

  • UK RGDP is expected to grow by 2.54% in 2016. However, the forecast variance is 0.64% across models.

  • UK Inflation is expected to be 2.34% in 2016. However, the forecast variance is 1.65 across models.

  • In comparison, UK Treasury Independent Consensus Forecasts are 2.4% and 1.7% for UK RGDP and Inflation.

Forecasts for the UK Economy 2016

 

  RGDP Growth Inflation
  Mean Dispersion Mean Dispersion
Autoregr. Moving Average 2.39 [-1.7 - 6.6] 3.86 [-6.4 - 15.2]
TVP Factor Augmented VAR 2.58 [-8.9 - 14.1] 2.44 [-5.3 - 10.1]
Bayesian VAR 2.99 [-0.3 - 6.4] 2.28 [-5.8 - 10.4]
Fin. Threshold VAR 2.72 [-0.9 - 6.2] 2.20 [-6.8 - 11.2]
Large Bayesian VAR 2.20 [-1 - 5.4] 2.61 [-5 - 10.1]
Fin. Smooth Transition VAR 2.52 [-1 - 6] 5.00 [-4 - 13.9]
Threshold VAR 3.13 [-0.4 - 6.5] 1.05 [-7.3 - 9.7]
Smooth Transition VAR 4.08 [0.7 - 7.5] 2.37 [-6.6 - 11.4]
DSGE 0.54 [-24.5 - 25.2] -0.37 [-12.8 - 11.9]
TVP VAR 2.70 [0.1 - 5.4] 1.92 [-1.6 - 5.3]
Markov Switching VAR 2.73 [0.6 - 4.9] 3.04 [-2.1 - 8.2]
Mixed Frequency VAR 1.79 [-2.2 - 5.8] 1.55 [-4.7 - 7.8]
Unobserved Component SV 2.64 [-1.5 - 6.7] 2.52 [-2.6 - 7.6]
Average 2.54   2.34  
Highest 4.08   5.00  
Lowest 0.54   -0.37  
Variance 0.64   1.65  
Average: Average of forecasts across Cremfi Forecast. Project Models
Dispersion: 10% - 90% Quantiles of Forecast Distribution. TVP: Time Varying Parameter,
DSGE: Dynamic Stochastic General Equilibrium, VAR: Vector Autoregressive, SV: Stochastic Volatility
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