How informative are central bank assessments of macroeconomic risks?
AbstractSurveying the forecasting practice of several central banks, we find that all these banks issue statements about risks to their macroeconomic forecasts. Often the balance of these risks is assessed as well. Upward [downward] risks to the forecast commonly imply that the outturn is expected to lie above [below] the central forecast. Investigating the inflation risk forecasts of the Bank of England and the Sveriges Riksbank, however, we do not find conclusive evidence for informativeness, that is, for a systematic connection between risk assessments and forecast errors. Thus, it seems questionable whether macroeconomic risk forecasts are meaningful. --
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Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2011,13.
Date of creation: 2011
Date of revision:
forecast evaluation; risk forecasts; inflation forecasts;
Other versions of this item:
- Malte Knüppel & Guido Schultefrankenfeld, 2012. "How Informative Are Central Bank Assessments of Macroeconomic Risks?," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 87-139, September.
- 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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