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.
|Date of creation:||05 Jan 2004|
|Date of revision:||11 Jan 2004|
|Contact details of provider:|| Postal: |
Phone: +44 (0) 115 84 66602
Fax: +44 (0) 115 84 66667
Web page: http://www.nottingham.ac.uk/business/Divisions/EconomicsFinance/
More information through EDIRC
References listed on IDEAS
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.:
- 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.
- Wallis, Kenneth F., 2001.
"Chi-squared tests of interval and density forecasts and the Bank of England's fan charts,"
Working Paper Series
0083, European Central Bank.
- Wallis, Kenneth F., 2003. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 165-175.
- 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.
- 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.
- 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:nub:occpap:10. 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: (Robert Hoffmann)
If references are entirely missing, you can add them using this form.