Sveriges Riksbank's Inflation Interval Forecasts 1999-2005

Michael Lundholm ()

No 2010:11, Research Papers in Economics from Stockholm University, Department of Economics

Abstract: Are Sveriges Riksbank's inflation (CPI and KPIX) interval forecasts calibrated in the sense that the intervals cover realised inflation with the stated ex ante coverage probabilities 50, 75 and 90 percent? In total 150 interval forecast 1999:Q2-2005:Q2 are assessed for CPI and KPIX. The main result is that the forecast uncertainty is understated, but there are substantial differences between individual forecast origins and inflation measures.

Keywords: Inflation; forecast; interval forecast; forecast uncertainty (search for similar items in EconPapers)
JEL-codes: C53 E31 E37 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2010-06-23
New Economics Papers: this item is included in nep-cba, nep-eec, nep-for and nep-mon
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