How Informative are Central Bank Assessments of Macroeconomic Risks?

Many central banks publish regular assessments of the magnitudeand balance of risks to the macroeconomic outlook. Inthis paper, we analyze the statistical properties of the inflation risk assessments that have been published by the Bank ofEngland 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