How Informative are Macroeconomic Risk Forecasts? An Examination of the Bank of England's Inflation Forecasts

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

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Year of publication:	2016
Authors:	Knüppel, Malte
Other Persons:	Schultefrankenfeld, Guido (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Großbritannien \| United Kingdom \| Prognoseverfahren \| Forecasting model \| Inflation \| Prognose \| Forecast \| Zentralbank \| Central bank \| Geldpolitik \| Monetary policy \| Frühindikator \| Leading indicator \| Inflationserwartung \| Inflation expectations \| Risiko \| Risk

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