Incorporating Market Information into the Construction of the Fan Chart
August 1, 2009
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Summary
This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the paper goes through the theoretical and practical considerations of this new approach. The resulting spreadsheet, which implements the approach, is available upon request from the authors.
Subject: Asset prices, GDP forecasting, Inflation, Oil prices, Options
Keywords: density function, normal distribution, WP
Pages:
21
Volume:
2009
DOI:
Issue:
178
Series:
Working Paper No. 2009/178
Stock No:
WPIEA2009178
ISBN:
9781451873252
ISSN:
1018-5941
