How Informative Are Central Bank Assessments of Macroeconomic Risks?

Malte Knüppel and Guido Schultefrankenfeld

International Journal of Central Banking, 2012, vol. 8, issue 3, 87-139

Abstract: Many central banks publish regular assessments of the magnitude and balance of risks to the macroeconomic outlook. In this paper, we analyze the statistical properties of the inflation risk assessments that have been published by the Bank of England and the Sveriges Riksbank. In each case, we find no significant evidence of any systematic connection between the ex ante risk assessments and the ex post forecast errors at horizons from zero to eight quarters. These results illustrate the difficult challenges in making accurate real-time assessments of temporal changes to the distribution of forecast errors. JEL Codes

JEL-codes: C12 C53 E37 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (21)

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Related works:
Working Paper: How informative are central bank assessments of macroeconomic risks? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2012:q:3:a:3

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