How informative are macroeconomicrisk forecasts?An examination of the Bank of England’sinflation forecasts

Macroeconomic risk assessments play an important role in the forecasts of manyinstitutions. However, to the best of our knowledge their performance has notbeen investigated yet. In this work, we study the Bank of England’s risk forecastsfor inflation. We find that these forecasts do not contain the intended information.Rather, they either have no information content, or even an adverse informationcontent. Our results imply that under mean squared error loss, it is better to usethe Bank of England’s mode forecasts than the Bank of England’s mean forecasts.[...]