There are considerable uncertainties surrounding the projections of CPI inflation, RPIX inflation and GDP growth in the Inflation Report. This uncertainty is reflected by the presentation of projections as fan charts. For an explanation of how the fan charts are derived see the article in the February 1998 Quarterly Bulletin by Erik Britton, Paul Fisher and John Whitley (pp 30-37)
For each Inflation Report two sets of projections are made, each following different assumptions for the path of interest rates during the forecast. One projection assumes that rates will follow the market expectation of interest rates, and the other assumes that rates will remain at their current level throughout the forecast. The projections under the assumption of market rates are made up to a horizon of 13 and under the constant rates assumption to a horizon of 9 quarters.
The fan chart shows the Committee's view of the uncertainty at specific points during the forecast period. It provides information about the likelihood of different outturns for GDP growth and CPI inflation at each individual quarter, rather th the likelihood of a given event occurring at some point over the entire forecast period.
This workbook contains three parameters (mean, median and mode) for each of the Inflation Report projections for GDP growth from August 2007. The projections are expressed as four-quarter growth rates. The first year of the projection is expressed relative to the MPC's best collective judgment for the most likely path for the mature data for GDP growth, rather than official data. A workbook containing details of this backcast is available separately. The uncertainty and skew of the probability distribution are also shown. The same uncertainty and skew are used for both the projection using market expected interest rates and the projection using constant rates The uncertainty measure given in this spreadsheet is defined as the "input" standard deviation used in the construction of the distribution described by the fan chart. It corresponds to the parameter sigma in the Quarterly Bulletin article mentioned above. It is equal to the actual standard deviation of the distribution only when the fan chart is symmetric.
for the path of interest rates during es, and the other assumes that ption of market rates are made up
at each individual quarter, rather than
port projections for GDP growth from projection is expressed relative to ather than official data.
MPC Forecasts of Annual GDP Growth based on Bank estimates of past Growth
IR Date 2007 August
November
2008
February
May
August
November
2009
February
May
Interest Rate Market Mode Market Market Median Market Mean Uncertainty Skew Market Mode Market Market Median Market Mean Uncertainty Skew Mode 5.75 Median Mean Uncertainty Skew Market Mode Market Market Median Market Mean Uncertainty Skew Mode 5.25 Median Mean Uncertainty Skew Market Mode Market Market Median Market Mean Uncertainty Skew Mode 5.00 Median Mean Uncertainty Skew Market Mode Market Market Median Market Mean Uncertainty Skew Mode 5.00 Median Mean Uncertainty Skew Market Mode Market Market Median Market Mean Uncertainty Skew Mode 3.00 Median Mean Uncertainty Skew Market Mode Market Market Median Market Mean Uncertainty Skew Mode 1.00 Median Mean Uncertainty Skew Market Mode Market Market Median Market Mean Uncertainty Skew Mode
2007Q3 3.47 3.47 3.47 0.74 0.00
2007Q4 3.26 3.26 3.26 0.75 0.00 3.21 3.21 3.21 0.64 -0.01 3.19 3.19 3.19 0.64 -0.01
2008Q1 2.99 2.99 2.99 0.76 0.00 2.88 2.87 2.86 0.71 -0.02 2.80 2.79 2.79 0.71 -0.02 2.76 2.73 2.73 0.64 -0.03 2.74 2.72 2.71 0.64 -0.03
2008Q2 2.66 2.66 2.66 0.77 0.00 2.42 2.40 2.39 0.78 -0.03 2.31 2.28 2.28 0.78 -0.03 2.25 2.20 2.19 0.71 -0.06 2.15 2.10 2.09 0.71 -0.06 2.28 2.28 2.28 0.64 0.00 2.26 2.26 2.26 0.64 0.00
2008Q3 2.57 2.57 2.57 0.78 0.00 2.07 2.04 2.03 0.85 -0.04 1.93 1.90 1.89 0.85 -0.04 1.85 1.79 1.77 0.78 -0.09 1.68 1.61 1.59 0.78 -0.09 1.80 1.80 1.80 0.71 0.00 1.72 1.72 1.72 0.71 0.00 1.10 1.09 1.09 0.64 -0.01 1.11 1.11 1.10 0.64 -0.01
2008Q4 2.54 2.54 2.54 0.86 0.00 2.15 2.11 2.10 0.93 -0.05 2.01 1.98 1.96 0.93 -0.05 1.64 1.55 1.53 0.85 -0.11 1.42 1.33 1.31 0.85 -0.11 1.29 1.29 1.29 0.78 0.00 1.18 1.18 1.18 0.78 0.00 0.48 0.46 0.45 0.71 -0.03 0.50 0.48 0.47 0.71 -0.03 -0.78 -0.78 -0.78 0.82 0.00 -0.65 -0.65 -0.65 0.82 0.00
2009Q1 2.53 2.53 2.53 0.97 0.00 2.31 2.24 2.23 1.03 -0.08 2.20 2.14 2.12 1.03 -0.08 1.74 1.63 1.60 0.93 -0.14 1.50 1.39 1.36 0.93 -0.14 1.02 1.02 1.02 0.85 0.00 0.89 0.89 0.89 0.85 0.00 0.15 0.11 0.10 0.78 -0.05 0.15 0.11 0.10 0.78 -0.05 -1.60 -1.60 -1.60 0.90 0.00 -1.49 -1.49 -1.49 0.90 0.00 -3.36 -3.58 -3.63 0.82 -0.27 -3.35 -3.57 -3.62 0.82 -0.27
2009Q2 2.47 2.47 2.47 1.05 0.00 2.53 2.44 2.41 1.16 -0.12 2.45 2.36 2.33 1.16 -0.12 1.93 1.79 1.76 1.03 -0.17 1.75 1.62 1.58 1.03 -0.17 1.40 1.40 1.40 0.93 0.00 1.28 1.28 1.28 0.93 0.00 0.10 0.04 0.02 0.85 -0.08 0.09 0.03 0.01 0.85 -0.08 -1.94 -1.94 -1.94 0.99 0.00 -1.91 -1.91 -1.91 0.99 0.00 -3.85 -4.28 -4.39 0.90 -0.55 -3.90 -4.34 -4.45 0.90 -0.55 -4.66 -4.74 -4.77 0.82 -0.11 -4.64
2009Q3 2.48 2.48 2.48 1.05 0.00 2.76 2.64 2.61 1.26 -0.15 2.68 2.56 2.53 1.26 -0.15 2.11 1.95 1.91 1.16 -0.20 2.00 1.84 1.80 1.16 -0.20 1.66 1.61 1.60 1.03 -0.06 1.59 1.55 1.53 1.03 -0.06 0.64 0.56 0.54 0.93 -0.10 0.62 0.54 0.52 0.93 -0.10 -1.40 -1.40 -1.40 1.08 0.00 -1.43 -1.43 -1.43 1.08 0.00 -3.30 -3.96 -4.12 0.99 -0.83 -3.39 -4.05 -4.21 0.99 -0.83 -4.33 -4.60 -4.67 0.99 -0.34 -4.27
2009Q4 2.51 2.51 2.51 1.10 0.00 2.82 2.70 2.67 1.26 -0.15 2.74 2.63 2.59 1.26 -0.15 2.29 2.16 2.12 1.26 -0.17 2.23 2.10 2.06 1.26 -0.17 1.97 1.86 1.83 1.16 -0.14 1.93 1.82 1.79 1.16 -0.14 1.17 1.06 1.02 1.03 -0.15 1.15 1.04 1.01 1.03 -0.15 -0.29 -0.29 -0.29 1.16 0.00 -0.45 -0.45 -0.45 1.16 0.00 -1.41 -2.31 -2.52 1.08 -1.11 -1.48 -2.38 -2.59 1.08 -1.11 -2.68 -3.25 -3.40 1.29 -0.72 -2.63
2010Q1 2.56 2.56 2.56 1.13 0.00 2.86 2.74 2.71 1.32 -0.15
2010Q2 2.62 2.62 2.62 1.15 0.00 2.85 2.74 2.70 1.35 -0.15
2010Q3 2.69 2.69 2.69 1.16 0.00 2.84 2.72 2.69 1.38 -0.15
2010Q4
2011Q1
2011Q2
2011Q3
2011Q4
2012Q1
2012Q2
2012Q3
2.85 2.73 2.70 1.39 -0.15
2.40 2.30 2.27 1.26 -0.13 2.38 2.27 2.24 1.26 -0.13 2.28 2.13 2.08 1.26 -0.20 2.27 2.11 2.07 1.26 -0.20 1.69 1.53 1.49 1.16 -0.21 1.71 1.55 1.51 1.16 -0.21 0.69 0.69 0.69 1.29 0.00 0.57 0.57 0.57 1.29 0.00 0.72 -0.42 -0.68 1.16 -1.40 0.70 -0.43 -0.70 1.16 -1.40 -0.41 -1.35 -1.58 1.64 -1.18 -0.31
2.46 2.38 2.36 1.32 -0.10
2.52 2.47 2.46 1.35 -0.07
2.56 2.53 2.53 1.38 -0.03
2.61 2.61 2.61 1.39 0.00
2.41 2.26 2.21 1.26 -0.20 2.42 2.26 2.22 1.26 -0.20 2.12 1.93 1.87 1.26 -0.25 2.17 1.97 1.92 1.26 -0.25 1.52 1.52 1.52 1.41 0.00 1.54 1.54 1.54 1.41 0.00 2.06 0.98 0.72 1.29 -1.34 2.21 1.13 0.87 1.29 -1.34 0.87 -0.25 -0.53 1.80 -1.40 1.05
2.67 2.51 2.47 1.32 -0.20
2.87 2.71 2.67 1.35 -0.20
2.99 2.83 2.79 1.38 -0.20
3.03 2.87 2.83 1.39 -0.20
2.46 2.27 2.21 1.26 -0.25 2.52 2.33 2.27 1.26 -0.25 2.07 2.07 2.07 1.54 0.00 2.20 2.20 2.20 1.54 0.00 2.92 1.89 1.64 1.41 -1.28 3.20 2.17 1.92 1.41 -1.28 1.74 0.64 0.37 1.82 -1.37 2.02
2.60 2.41 2.35 1.32 -0.25
2.78 2.59 2.53 1.35 -0.25
3.06 2.86 2.81 1.38 -0.25
3.20 3.01 2.95 1.39 -0.25
2.49 2.49 2.49 1.58 0.00 2.68 2.68 2.68 1.58 0.00 3.39 2.41 2.17 1.54 -1.22 3.76 2.78 2.54 1.54 -1.22 2.10 1.04 0.77 1.84 -1.33 2.53
2.82 2.82 2.82 1.65 0.00
3.05 3.05 3.05 1.69 0.00
3.19 3.19 3.19 1.72 0.00
3.25 3.25 3.25 1.74 0.00
3.62 2.66 2.42 1.58 -1.20 4.02 3.06 2.82 1.58 -1.20 2.37 1.33 1.07 1.85 -1.31 2.89
3.63 2.74 2.52 1.65 -1.11
3.57 2.73 2.51 1.69 -1.06
3.47 2.66 2.45 1.72 -1.02
3.42 2.62 2.42 1.74 -1.00
2.67 1.71 1.47 1.90 -1.20 3.19
2.90 1.99 1.76 1.92 -1.14
3.00 2.16 1.94 1.95 -1.06
3.10 2.26 2.05 1.95 -1.05
3.16 2.36 2.16 1.96 -1.00
IR Date
August
Interest Rate 0.50 Median Mean Uncertainty Skew Market Mode Market Market Median Market Mean Uncertainty Skew Mode 0.50 Median Mean Uncertainty Skew
2007Q3
2007Q4
2008Q1
2008Q2
2008Q3
2008Q4
2009Q1
2009Q2 -4.72 -4.74 0.82 -0.11
2009Q3 -4.54 -4.61 0.99 -0.34 -4.55 -4.62 -4.64 0.81 -0.09 -4.55 -4.62 -4.64 0.81 -0.09
2009Q4 -3.20 -3.35 1.29 -0.72 -2.42 -2.68 -2.74 1.02 -0.32 -2.42 -2.68 -2.74 1.02 -0.32
2010Q1 -1.26 -1.49 1.64 -1.18 0.40 -0.09 -0.22 1.29 -0.62 0.45 -0.04 -0.17 1.29 -0.62
2010Q2 -0.07 -0.35 1.80 -1.40 1.87 1.12 0.93 1.58 -0.94 2.04 1.29 1.10 1.58 -0.94
2010Q3 0.92 0.64 1.82 -1.37 2.47 1.67 1.47 1.63 -1.00 2.81 2.01 1.81 1.63 -1.00
2010Q4 1.47 1.20 1.84 -1.33 2.79 1.99 1.79 1.64 -1.00 3.31 2.51 2.31 1.64 -1.00
2011Q1 1.84 1.58 1.85 -1.31 3.05 2.25 2.05 1.66 -1.00 3.70 2.90 2.70 1.66 -1.00
2011Q2 2.23 1.99 1.90 -1.20 3.03 2.24 2.03 1.67 -1.00 3.73 2.94 2.73 1.67 -1.00
2011Q3
2011Q4
2012Q1
2012Q2
2012Q3
3.07 2.27 2.07 1.71 -1.00 3.74 2.95 2.74 1.71 -1.00
3.10 2.30 2.10 1.73 -1.00
3.14 2.35 2.14 1.74 -1.00
3.20 2.41 2.20 1.76 -1.00
3.22 2.42 2.22 1.77 -1.00