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Quantifying risk and uncertainty in macroeconomic forecasts

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Author Info
Knüppel, Malte
Tödter, Karl-Heinz

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Abstract

This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both procedures are closely related. The bootstrap is applied to the structural macroeconometric model of the Bundesbank for Germany. Forecast intervals that integrate judgement on risk and uncertainty are obtained.

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File URL: http://opus.zbw-kiel.de/volltexte/2007/6341/pdf/200725dkp.pdf
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Publisher Info
Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2007,25.

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Date of creation: 2007
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Handle: RePEc:zbw:bubdp1:6341

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Related research
Keywords: Macroeconomic forecasts stochastic forecast intervals risk uncertainty asymmetrically weighted normal distribution asymmetric bootstrap

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation

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