How Informative are Macroeconomic Risk Forecasts? An Examination of the Bank of England's Inflation Forecasts
48 Pages Posted: 8 Jun 2016
Date Written: 2008
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.
Keywords: Forecast evaluation, risk forecasts, Bank of England inflation forecasts
JEL Classification: C53, C12, E37
Suggested Citation: Suggested Citation