Franta, Michal; Barunik, Jozef; Horvath, Roman; … - Česká Národní Banka - 2011
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. Using unique data...