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[How accurate are the inflation forecasts published by the commercial banks?]

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Author Info

  • Olafsdottir, Katrin
  • Sigurdsson, Kari

Abstract

Every month the commercial banks in Iceland publish their inflation forecast for the coming month. This paper examines how accurate these forecasts were from 2000 to 2006. Most of the forecasts have similar accuracy where the inflation rate in the month in question is underestimated by 2 to 6 points. We did not find that a forecast is more likely to be accurate in a specific month if it was accurate in the previous month.

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File URL: http://mpra.ub.uni-muenchen.de/18288/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 18288.

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Date of creation: 2007
Date of revision:
Handle: RePEc:pra:mprapa:18288

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Related research

Keywords: inflation; forecasts; root mean square error.;

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  1. Le Bihan, Herve & Sedillot, Franck, 2000. "Do core inflation measures help forecast inflation?: Out-of-sample evidence from French data," Economics Letters, Elsevier, vol. 69(3), pages 261-266, December.
  2. Mills, Terence C. & Pepper, Gordon T., 1999. "Assessing the forecasters: an analysis of the forecasting records of the Treasury, the London Business School and the National Institute," International Journal of Forecasting, Elsevier, vol. 15(3), pages 247-257, July.
  3. Vassiliki Koutsogeorgopoulou, 2000. "A Post-Mortem on Economic Outlook Projections," OECD Economics Department Working Papers 274, OECD Publishing.
  4. Cumby, Robert E. & Modest, David M., 1987. "Testing for market timing ability : A framework for forecast evaluation," Journal of Financial Economics, Elsevier, vol. 19(1), pages 169-189, September.
  5. Ash, J. C. K. & Smyth, D. J. & Heravi, S. M., 1998. "Are OECD forecasts rational and useful?: a directional analysis," International Journal of Forecasting, Elsevier, vol. 14(3), pages 381-391, September.
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