Overview
Geoff Kenny is an economist at the Central Bank of Ireland (Research Department). He is a co-author of Kenny-Meyler-Quinn (1998), a Central Bank of Ireland Technical Paper evaluating Bayesian VAR models for forecasting Irish HICP inflation ahead of EMU accession in January 1999. The paper established that a parsimonious three-variable small-open-economy BVAR, using the Minnesota random-walk prior, dominates larger unrestricted VAR specifications for Irish inflation forecasting.
Key Contributions / Features
- BVAR for Irish HICP inflation. Constructed and evaluated three BVAR models ({P, P*, E}; {P, P*, E, W, RS}; {P, P*, E, r^s, DC}) with Minnesota prior implemented via Theil mixed estimation; optimal hyperparameters selected by grid search.
- Indicator pre-screening. Applied Cecchetti (1995) predictability regressions at five horizons to screen candidate indicators; confirmed external prices as the dominant Irish inflation predictor, M3 as uninformative.
- BVAR1 (SOE) result. Parsimonious three-variable model achieves Theil U = 0.71 (1–4Q) and 0.55 (5–8Q), best among all models evaluated including five-variable unrestricted VARs.
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