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Sveriges Riksbank's Inflation Interval Forecasts 1999-2005

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Abstract

Are Sveriges Riksbank's inflation (CPI and KPIX) interval forecasts calibrated in the sense that the intervals cover realised inflation with the stated ex ante coverage probabilities 50, 75 and 90 percent? In total 150 interval forecast 1999:Q2-2005:Q2 are assessed for CPI and KPIX. The main result is that the forecast uncertainty is understated, but there are substantial differences between individual forecast origins and inflation measures.

Suggested Citation

  • Lundholm, Michael, 2010. "Sveriges Riksbank's Inflation Interval Forecasts 1999-2005," Research Papers in Economics 2010:11, Stockholm University, Department of Economics.
  • Handle: RePEc:hhs:sunrpe:2010_0011
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    File URL: http://www2.ne.su.se/paper/wp10_11.pdf
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    1. Jansson, Per & Vredin, Anders, 2003. "Forecast-Based Monetary Policy: The Case of Sweden," International Finance, Wiley Blackwell, vol. 6(3), pages 349-380, Winter.
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    Keywords

    Inflation; forecast; interval forecast; forecast uncertainty;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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