How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts
AbstractMacroeconomic risk assessments play an important role in the forecasts of many institutions. However, to the best of our knowledge their performance has not been investigated yet. In this work, we study the Bank of England?s risk forecasts for inflation. We find that these forecasts do not contain the intended information. Rather, they either have no information content, or even an adverse information content. Our results imply that under mean squared error loss, it is better to use the Bank of England?s mode forecasts than the Bank of England?s mean forecasts. --
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Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2008,14.
Date of creation: 2008
Date of revision:
Forecast evaluation; risk forecasts; Bank of England inflation forecasts;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-20 (All new papers)
- NEP-CBA-2008-09-20 (Central Banking)
- NEP-FOR-2008-09-20 (Forecasting)
- NEP-MAC-2008-09-20 (Macroeconomics)
- NEP-MON-2008-09-20 (Monetary Economics)
- NEP-RMG-2008-09-20 (Risk Management)
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