The Riksbank’s Forecasting Performance

Michael K. Andersson (), Gustav Karlsson () and Josef Svensson
Additional contact information
Michael K. Andersson: Monetary Policy Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Gustav Karlsson: Monetary Policy Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Josef Svensson: Monetary Policy Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden

No 218, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: This paper describes the official Riksbank forecasts for the period 2000-06. The forecast variables are those that are important for monetary policy analysis, i.e. inflation, GDP, productivity, employment, labour force, unemployment and financial variables such as interest rate and foreign exchange rate. The Riksbank’s forecasts are presented and analyzed and compared with alternative forecasts, that is, those from other institutions and simple statistical models. One important message from the study is that macroeconomic forecasts are associated with an appreciable uncertainty; the forecast errors are often sizeable. The forecast memory, defined as how far the forecasts are more informative than the variables unconditional mean, is usually limited to the first year. Furthermore, we find that the inflation forecasts exhibit several appealing features, such as a predictability memory that (possibly) includes the second year, relatively low RMSE and weak efficiency. The forecasts for the investigated real variables are shown to be less precise and they have a shorter forecast memory. The exchange rate predictions demonstrate the least accurate (of the investigated variables) forecasts. Compared to other forecasters, the Riksbank’s predictions are often more accurate. This holds for a comparison with the National Institute of Economic Research, even though the differences are statistically insignificant, as well as for a comparison with the participants in the Consensus Forecasts panel, where the Riksbank’s predictions often are among the best. We also find indications that misjudgements for productivity growth have had effects on forecasts for both inflation and GDP, but the results suggest that the Riksbank has considered available information in an acceptable fashion. This is also true for the undertaken revisions (from one forecast occasion to another) of the published forecasts.

Keywords: Judgements; Forecast Evaluation; Central Bank; Inflation; GDP; RMSE (search for similar items in EconPapers)
JEL-codes: E27 E37 E52 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2007-12-01
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ets, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.riksbank.se/upload/Dokument_riksbank/Ka ... apers/2007/wp218.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2007/wp218.pdf [301 Moved Permanently]--> https://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2007/wp218.pdf [301 Moved Permanently]--> http://archive.riksbank.se/Upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2007/wp218.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0218

Access Statistics for this paper

More papers in Working Paper Series from Sveriges Riksbank (Central Bank of Sweden) Sveriges Riksbank, SE-103 37 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Lena Löfgren ().