How Informative are Macroeconomic Risk Forecasts? An Examination of the Bank of England's Inflation Forecasts

48 Pages Posted: 8 Jun 2016

See all articles by Malte Knüppel

Malte Knüppel

Deutsche Bundesbank - Research Centre

Guido Schultefrankenfeld

Deutsche Bundesbank

Date Written: 2008

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.

Keywords: Forecast evaluation, risk forecasts, Bank of England inflation forecasts

JEL Classification: C53, C12, E37

Suggested Citation

Knüppel, Malte and Schultefrankenfeld, Guido, How Informative are Macroeconomic Risk Forecasts? An Examination of the Bank of England's Inflation Forecasts (2008). Bundesbank Series 1 Discussion Paper No. 2008,14, Available at SSRN: https://ssrn.com/abstract=2785312 or http://dx.doi.org/10.2139/ssrn.2785312

Malte Knüppel (Contact Author)

Deutsche Bundesbank - Research Centre ( email )

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

HOME PAGE: http://sites.google.com/view/malteknueppel-research/home

Guido Schultefrankenfeld

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Research Centre
Frankfurt/Main, DE Hesse 60431
Germany

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

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