Resource title

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

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Resource description

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.

Resource author

Malte Kn├╝ppel, Guido Schultefrankenfeld

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/19725

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Adapt according to the presented license agreement and reference the original author.