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September 2012 issue
List of authors
 
Ehrmann, Sondermann
Beechey, Österholm
Knüppel, Schultefrankenfeld
Alpanda, Aysun
Memmel,Sachs, Stein
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How Informative Are Central Bank Assessments of Macroeconomic Risks?

by Malte Knüppel and Guido Schultefrankenfeld
Deutsche Bundesbank

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: E37, C12, C53.

 
Full article (PDF, 53 pages 555 kb)