PolicyEngine Macro
model 03 — Bank of England structural VAR · boe-svar · UK · hosted
Explain UK growth and inflation.
Decompose UK GDP and inflation into six structural shocks, forecast with credible bands, and explain revisions between quarters.
An open replication of the Bank of England structural VAR
On the statistic Brignone & Piffer (2025) actually define — posterior mean of the per-draw group share of total four-quarter-ahead variance — the identified global shocks explain 37.4% of UK GDP forecast-error variance against the paper's ~40%, and 42.3% of UK CPI against ~50%, a gap narrower than the 68% band of about ±14pp. Forecasting is the weaker half: from the frozen 2024Q2 edge the RMSE is 0.32pp for both GDP and CPI, but 14 of 14 outturns inside the 68% band is over-dispersion at that origin rather than a pass, and across 49 rolling origins nothing beats a random walk with drift once the 64 tests are adjusted together (Benjamini–Hochberg minimum q = 0.36). Current forecast: data through 2026Q1, outlook 2026Q2–2029Q2. Validation →
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Cite this work
Ahmadi, Vahid (2026). “An open replication of the Bank of England structural VAR.” PolicyEngine Macro working paper. https://policyengine-macro.vercel.app/papers/boe-svar
@techreport{policyengine2026boesvar,
title = {An open replication of the Bank of England structural VAR},
author = {Ahmadi, Vahid},
year = {2026},
institution = {PolicyEngine},
url = {https://policyengine-macro.vercel.app/papers/boe-svar},
note = {PolicyEngine Macro working paper}
}No DOI is assigned. For an exact version stamp, cite the git commit of the artifact you used from github.com/PolicyEngine/macro.