Evaluating macroeconomic risk forecasts
Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness outperforms the standard third-moment-based skewness as a measure of asymmetry. We consider problems of the tests likely to be encountered in practice and try to offer remedies where possible. In general, tests for macroeconomic risk forecast optimality tend to have at best moderate power given the empirically available small sample sizes.
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- Eric Leeper, 2003. "An "Inflation Reports" Report," NBER Working Papers 10089, National Bureau of Economic Research, Inc.
- Malte Knüppel & Guido Schultefrankenfeld, 2012.
"How Informative Are Central Bank Assessments of Macroeconomic Risks?,"
International Journal of Central Banking,
International Journal of Central Banking, vol. 8(3), pages 87-139, September.
- Knüppel, Malte & Schultefrankenfeld, Guido, 2011. "How informative are central bank assessments of macroeconomic risks?," Discussion Paper Series 1: Economic Studies 2011,13, Deutsche Bundesbank, Research Centre.
- Francis X. Diebold & Jose A. Lopez, 1995.
"Forecast evaluation and combination,"
9525, Federal Reserve Bank of New York.
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