Are Inflation Forecasts from Major Swedish Forecasters Biased?

Inflation forecasts made 1999-2005 by Sveriges Riksbank and Konjunkturinstitet of Swedish inflation rates 1999-2007 are tested for unbiasedness; i.e., are the mean forecast errors zero? The bias is in the order of -0.1 percentage units for horizons below one year and in the order of 0.1 and 0.6 (depending on inflation measure) above one year. Using the maximum entropy bootstrap for inference bias is significant whereas inference using HAC indicates insignificance.

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Year of publication:	2010-06-03
Authors:	Lundholm, Michael
Institutions:	Nationalekonomiska institutionen, Stockholms Universitet
Subject:	Forecast evaluation \| inflation \| unbiasedness \| maximum entropy bootstrap

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Extent:	application/pdf
Series:	Research Papers in Economics.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Research Papers in Economics Number 2010:10 13 pages
Classification:	E37 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008494017