Quantifying risk and uncertainty in macroeconomic forecasts

Malte Knüppel and Karl-Heinz Tödter

No 2007,25, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

Abstract: This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both procedures are closely related. The bootstrap is applied to the structural macroeconometric model of the Bundesbank for Germany. Forecast intervals that integrate judgement on risk and uncertainty are obtained.

Keywords: Macroeconomic forecasts; stochastic forecast intervals; risk; uncertainty; asymmetrically weighted normal distribution; asymmetric bootstrap (search for similar items in EconPapers)
JEL-codes: C14 C53 E37 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ecm, nep-for and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:6341

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