BoE’s Weale: t-distribution may outperform normal
T-distribution may better reflect the possibility of extreme outcomes
The t-distribution may be more useful to the Bank of England's monetary policy committee (MPC) than the more commonly used normal distribution, external MPC member Martin Weale said on May 13.
The committee has in the past found – most notably during the 2008 financial crisis – that large forecast errors occur more frequently than the normal distribution would suggest, Weale told an audience at the University of Liverpool.
Adopting the t-distribution instead implies the tails of the distribution
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