How Informative Are Central Bank Assessments of Macroeconomic Risks?
Many 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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lutz KILIAN & Simone MANGANELLI, .
"Quantifying the Risk of Deflation,"
- Knüppel, Malte & Schultefrankenfeld, Guido, 2011. "Evaluating macroeconomic risk forecasts," Discussion Paper Series 1: Economic Studies 2011,14, Deutsche Bundesbank, Research Centre.
- Donald W.K. Andrews, 1988.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Cowles Foundation Discussion Papers
877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
- Maximiano Pinheiro & Paulo Esteves, 2012.
"On the uncertainty and risks of macroeconomic forecasts: combining judgements with sample and model information,"
Springer, vol. 42(3), pages 639-665, June.
- Maximiano Pinheiro & Paulo Soares Esteves, 2008. "On the uncertainty and risks of macroeconomic forecasts: Combining judgements with sample and model information," Working Papers w200821, Banco de Portugal, Economics and Research Department.
- Prakash Kannan & Selim Elekdag, 2009. "Incorporating Market Information Into the Construction of the Fan Chart," IMF Working Papers 09/178, International Monetary Fund.
- Francis X. Diebold & Jose A. Lopez, 1995.
"Forecast evaluation and combination,"
9525, Federal Reserve Bank of New York.
- Wallis, Kenneth F, 1989. "Macroeconomic Forecasting: A Survey," Economic Journal, Royal Economic Society, vol. 99(394), pages 28-61, March.
- David Reifschneider & Peter Tulip, 2007. "Gauging the uncertainty of the economic outlook from historical forecasting errors," Finance and Economics Discussion Series 2007-60, Board of Governors of the Federal Reserve System (U.S.).
- Paul Conway, 2000. "Monetary policy in an uncertain world," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 63, September.
- Eric Leeper, 2003. "An "Inflation Reports" Report," NBER Working Papers 10089, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:ijc:ijcjou:y:2012:q:3:a:3. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Timo Laurmaa)
If references are entirely missing, you can add them using this form.