How Informative Are Central Bank Assessments of Macroeconomic Risks?
AbstractMany central banks publish regular assessments of the magnitude and balance of risks to the macroeconomic outlook. In this paper, we analyze the statistical properties of the inflation risk assessments that have been published by the Bank of England and the Sveriges Riksbank. In each case, we find no significant evidence of any systematic connection between the ex ante risk assessments and the ex post forecast errors at horizons from zero to eight quarters. These results illustrate the difficult challenges in making accurate real-time assessments of temporal changes to the distribution of forecast errors. JEL Codes
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Bibliographic InfoArticle provided by International Journal of Central Banking in its journal International Journal of Central Banking.
Volume (Year): 8 (2012)
Issue (Month): 3 (September)
Other versions of this item:
- Knüppel, Malte & Schultefrankenfeld, Guido, 2011. "How informative are central bank assessments of macroeconomic risks?," Discussion Paper Series 1: Economic Studies 2011,13, Deutsche Bundesbank, Research Centre.
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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