Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/71907 
Year of Publication: 
2013
Series/Report no.: 
Bundesbank Discussion Paper No. 11/2013
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical point of view, the latter should yield the highest forecast accuracy. The lowest accuracy can be expected from forecasts conditioned on constant interest rates. However, when investigating the predictive accuracy of the forecasts for interest rates, inflation and output growth made by the Bank of England and the Banco do Brasil, we hardly find any significant differences between the forecasts based on different interest assumptions. We conclude that the choice of the interest rate assumption, while being a major concern from a theoretical point of view, appears to be at best of minor relevance empirically.
Subjects: 
Forecast Accuracy
Density Forecasts
Projections
JEL: 
C12
C53
ISBN: 
978-3-86558-904-0
Document Type: 
Working Paper

Files in This Item:
File
Size
680.01 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.