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The Swedish Inflation Fan Charts: An Evaluation of the Riksbank?s Inflation Density Forecasts

This paper evaluates the inflation density forecasts published by the Swedish central bank, the Sveriges Riksbank. Realized inflation outcomes are mapped to their forecasted percentiles, which are then transformed to be standard normal under the null that the forecasting model is good. Results suggest that the Riksbank?s inflation density forecasts have a skewness problem, and their longer term forecasts have a kurtosis problem as well.

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Paper provided by Industrial Economics Division in its series Occasional Papers with number 10.

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Date of creation: 05 Jan 2004
Date of revision: 11 Jan 2004
Handle: RePEc:nub:occpap:10
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  1. Wallis, Kenneth F., 2002. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," Royal Economic Society Annual Conference 2002 181, Royal Economic Society.
  2. Kenneth F. Wallis, 2004. "An Assessment of Bank of England and National Institute Inflation Forecast Uncertainties," National Institute Economic Review, National Institute of Economic and Social Research, vol. 189(1), pages 64-71, July.
  3. Eric Leeper, 2003. "An "Inflation Reports" Report," NBER Working Papers 10089, National Bureau of Economic Research, Inc.
  4. Michael P. Clements, 2004. "Evaluating the Bank of England Density Forecasts of Inflation," Economic Journal, Royal Economic Society, vol. 114(498), pages 844-866, October.
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