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The Swedish Inflation Fan Charts: An Evaluation of the Riksbank?s Inflation Density Forecasts

Kevin Dowd ()
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Kevin Dowd: Nottingham University Business School

Occasional Papers from Industrial Economics Division

Abstract: This paper evaluates the inflation density forecasts published by the Swedish central bank, the Sveriges Riksbank. Realized inflation outcomes are mapped to their forecasted percentiles, which are then transformed to be standard normal under the null that the forecasting model is good. Results suggest that the Riksbank?s inflation density forecasts have a skewness problem, and their longer term forecasts have a kurtosis problem as well.

Keywords: Inflation density forecasting; Sveriges Riksbank; forecast evaluation (search for similar items in EconPapers)
JEL-codes: C53 E31 E52 (search for similar items in EconPapers)
Date: 2004-01-05, Revised 2004-01-11
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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