Anthony Garratt
Biographic Data
| ID | 5730366 |
|---|---|
| NAME | Anthony Garratt |
| GIVEN NAMES | Anthony |
| FAMILY NAME | Garratt |
| SIGNATURE | GARRATT A |
| AFFILIATIONS | Birkbeck, University of London |
| VERIFIED | No |
| TOTAL WORKS | 7 |
| TOTAL CITATIONS | 24 |
| AUTHOR COUNT | 7 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1993 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 2 |
Commodity prices and inflation risk
This paper investigates the role of commodity price information when evaluating inflation risk. Using a model averaging approach, we provide strong evidence of in‐sample and out‐of‐sample predictive ability from commodity prices and convenience yields to inflation, establishing clear point and density forecast performance gains when incorporating disaggregated commodities price information. The resulting forecast densities are used to calculate t…
Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty
A popular account for the demise of the U.K.’s monetary targeting regime in the 1980s blames the fluctuating predictive relationships between broad money and inflation and real output growth. Yet ex post policy analysis based on heavily revised data suggests no fluctuations in the predictive content of money. In this paper, we investigate the predictive relationships for inflation and output growth using both real-time and heavily revised data. W…
Real-Time Representations of the Output Gap
Methods are described for the appropriate use of data obtained and analysed in real time to represent the output gap. The methods employ cointegrating VAR techniques to model real-time measures and realizations of output series jointly. The model is used to mitigate the impact of data revisions; to generate appropriate forecasts that can deliver economically meaningful output trends and that can take into account the end-of-sample problems encoun…
Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
A recent revision to the preliminary measurement of GDP(E) growth for 2003Q2 caused considerable press attention, provoked a public enquiry and prompted a number of reforms to UK statistical reporting procedures. In this article, we compute the probability of 'substantial revisions' that are greater (in absolute value) than the controversial 2003 revision. The predictive densities are derived from Bayesian model averaging over a wide set of forec…
UK Real‐Time Macro Data Characteristics
We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real-time forecasting, we use a vector autoregre…
A Long run structural macroeconometric model of the UK
A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to …
One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union
Journal Article One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union Get access One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union. By Emerson (Michael), Gros (Daniel) and Italianer (Alexander). (Oxford: Oxford University Press, 1992. Pp. 354. £40.00 hardback, £14.95 paperback. ISBN 0 198773234, 0 198773242.) Anthony Garra…
One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union
Journal Article One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union Get access One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union. By Emerson (Michael), Gros (Daniel) and Italianer (Alexander). (Oxford: Oxford University Press, 1992. Pp. 354. £40.00 hardback, £14.95 paperback. ISBN 0 198773234, 0 198773242.) Anthony Garra…
A Long run structural macroeconometric model of the UK
A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to …
UK Real‐Time Macro Data Characteristics
We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real-time forecasting, we use a vector autoregre…
One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union
Journal Article One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union Get access One Market, One Money: An Evaluation of the Potential Benefits and Costs of Forming an Economic and Monetary Union. By Emerson (Michael), Gros (Daniel) and Italianer (Alexander). (Oxford: Oxford University Press, 1992. Pp. 354. £40.00 hardback, £14.95 paperback. ISBN 0 198773234, 0 198773242.) Anthony Garra…
A Long run structural macroeconometric model of the UK
A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to …
UK Real‐Time Macro Data Characteristics
We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real-time forecasting, we use a vector autoregre…
Real-Time Representations of the Output Gap
Methods are described for the appropriate use of data obtained and analysed in real time to represent the output gap. The methods employ cointegrating VAR techniques to model real-time measures and realizations of output series jointly. The model is used to mitigate the impact of data revisions; to generate appropriate forecasts that can deliver economically meaningful output trends and that can take into account the end-of-sample problems encoun…
Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
A recent revision to the preliminary measurement of GDP(E) growth for 2003Q2 caused considerable press attention, provoked a public enquiry and prompted a number of reforms to UK statistical reporting procedures. In this article, we compute the probability of 'substantial revisions' that are greater (in absolute value) than the controversial 2003 revision. The predictive densities are derived from Bayesian model averaging over a wide set of forec…
Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty
A popular account for the demise of the U.K.’s monetary targeting regime in the 1980s blames the fluctuating predictive relationships between broad money and inflation and real output growth. Yet ex post policy analysis based on heavily revised data suggests no fluctuations in the predictive content of money. In this paper, we investigate the predictive relationships for inflation and output growth using both real-time and heavily revised data. W…
Commodity prices and inflation risk
This paper investigates the role of commodity price information when evaluating inflation risk. Using a model averaging approach, we provide strong evidence of in‐sample and out‐of‐sample predictive ability from commodity prices and convenience yields to inflation, establishing clear point and density forecast performance gains when incorporating disaggregated commodities price information. The resulting forecast densities are used to calculate t…
Economics (7 works) · Econometrics (6 works) · Monetary Policy and Economic Impact (6 works) · Market Dynamics and Volatility (5 works) · Computer Science (4 works) · Mathematics (4 works) · Monetary economics (4 works) · Macroeconomics (3 works) · Monetary policy (3 works) · Statistics (3 works)