How Informative are Central Bank Assessments of Macroeconomic Risks?

International Journal of Central Banking, Vol. 8(3), 87-139, 2012

Posted: 9 Aug 2015 Last revised: 13 Sep 2016

See all articles by Malte Knüppel

Malte Knüppel

Deutsche Bundesbank - Research Centre

Guido Schultefrankenfeld

Economist

Date Written: June 1, 2012

Abstract

Many central banks publish regular assessments of the magnitudeand balance of risks to the macroeconomic outlook. Inthis paper, we analyze the statistical properties of the inflation risk assessments that have been published by the Bank ofEngland and the Sveriges Riksbank. In each case, we find no significant evidence of any systematic connection between the ex ante risk assessments and the ex post forecast errors at horizons from zero to eight quarters. These results illustrate the difficult challenges in making accurate real-time assessments of temporal changes to the distribution of forecast errors.

JEL Classification: E37, C12, C53

Suggested Citation

Knüppel, Malte and Schultefrankenfeld, Guido, How Informative are Central Bank Assessments of Macroeconomic Risks? (June 1, 2012). International Journal of Central Banking, Vol. 8(3), 87-139, 2012, Available at SSRN: https://ssrn.com/abstract=2633943

Malte Knüppel

Deutsche Bundesbank - Research Centre ( email )

Wilhelm-Epstein-Str. 14
D-60431 Frankfurt/Main
Germany

Guido Schultefrankenfeld (Contact Author)

Economist ( email )

Wilhelm-Epstein-Strasse 14
Frankfurt/Main D-60431
Germany

HOME PAGE: http://www.bundesbank.de/research_guido_schultefrankenfeld

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