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Title:How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts PDF Logo
Authors:Knüppel, Malte
Schultefrankenfeld, Guido
Issue Date:2008
Series/Report no.:Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2008,14
Abstract:Macroeconomic risk assessments play an important role in the forecasts of many institutions. However, to the best of our knowledge their performance has not been investigated yet. In this work, we study the Bank of England?s risk forecasts for inflation. We find that these forecasts do not contain the intended information. Rather, they either have no information content, or even an adverse information content. Our results imply that under mean squared error loss, it is better to use the Bank of England?s mode forecasts than the Bank of England?s mean forecasts.
Subjects:Forecast evaluation
risk forecasts
Bank of England inflation forecasts
JEL:C53
C12
E37
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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