Evaluating Macroeconomic Risk Forecasts

44 Pages Posted: 8 Jun 2016

See all articles by Malte Knüppel

Malte Knüppel

Deutsche Bundesbank - Research Centre

Guido Schultefrankenfeld

Deutsche Bundesbank

Date Written: 2011


Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness outperforms the standard third-moment-based skewness as a measure of asymmetry. We consider problems of the tests likely to be encountered in practice and try to offer remedies where possible. In general, tests for macroeconomic risk forecast optimality tend to have at best moderate power given the empirically available small sample sizes.

Keywords: forecast evaluation, asymmetric densities, skewness

JEL Classification: E37, C12, C53

Suggested Citation

Knüppel, Malte and Schultefrankenfeld, Guido, Evaluating Macroeconomic Risk Forecasts (2011). Bundesbank Series 1 Discussion Paper No. 2011,14, Available at SSRN: https://ssrn.com/abstract=2785403 or http://dx.doi.org/10.2139/ssrn.2785403

Malte Knüppel (Contact Author)

Deutsche Bundesbank - Research Centre ( email )

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

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

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

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics