How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts

Malte Knüppel and Guido Schultefrankenfeld

No 2008,14, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank, Research Centre

Abstract: Macroeconomic risk assessments play an important role in the forecasts of many institutions. However, to the best of our knowledge their performance has not been investigated yet. In this work, we study the Bank of England?s risk forecasts for inflation. We find that these forecasts do not contain the intended information. Rather, they either have no information content, or even an adverse information content. Our results imply that under mean squared error loss, it is better to use the Bank of England?s mode forecasts than the Bank of England?s mean forecasts.

Keywords: Forecast evaluation; risk forecasts; Bank of England inflation forecasts (search for similar items in EconPapers)
JEL-codes: C53 C12 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac, nep-mon and nep-rmg
Date: 2008
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Persistent link: http://EconPapers.repec.org/RePEc:zbw:bubdp1:7369

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