Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19702
Authors: 
Knüppel, Malte
Tödter, Karl-Heinz
Year of Publication: 
2007
Series/Report no.: 
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,25
Abstract: 
This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both procedures are closely related. The bootstrap is applied to the structural macroeconometric model of the Bundesbank for Germany. Forecast intervals that integrate judgement on risk and uncertainty are obtained.
Subjects: 
Macroeconomic forecasts
stochastic forecast intervals
risk
uncertainty
asymmetrically weighted normal distribution
asymmetric bootstrap
JEL: 
E37
C53
C14
Document Type: 
Working Paper

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