Are Inflation Forecasts from Major Swedish Forecasters Biased?

Michael Lundholm ()

No 2010:10, Research Papers in Economics from Stockholm University, Department of Economics

Abstract: Inflation forecasts made 1999-2005 by Sveriges Riksbank and Konjunkturinstitet of Swedish inflation rates 1999-2007 are tested for unbiasedness; i.e., are the mean forecast errors zero? The bias is in the order of -0.1 percentage units for horizons below one year and in the order of 0.1 and 0.6 (depending on inflation measure) above one year. Using the maximum entropy bootstrap for inference bias is significant whereas inference using HAC indicates insignificance.

Keywords: Forecast evaluation; inflation; unbiasedness; maximum entropy bootstrap (search for similar items in EconPapers)
JEL-codes: E37 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2010-06-03
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:sunrpe:2010_0010

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