Assessing the uncertainty in central banks’ inflation outlooks

Malte Knüppel and Guido Schultefrankenfeld

International Journal of Forecasting, 2019, vol. 35, issue 4, 1748-1769

Abstract: Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower levels of accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco Central do Brasil, the Magyar Nemzeti Bank and the Sveriges Riksbank to assess whether central banks’ uncertainty forecasts might be subject to similar problems. We find that, while most central banks’ uncertainty forecasts also tend to be underconfident at short horizons and overconfident at longer horizons, they are mostly not significantly biased. Moreover, they tend to be at least as precise as unconditional uncertainty forecasts from two different approaches.

Keywords: Density forecasts; Fan charts; Forecast optimality; Forecast accuracy; Volatility forecasting (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169207019300858
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Assessing the uncertainty in central banks' inflation outlooks (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:35:y:2019:i:4:p:1748-1769

DOI: 10.1016/j.ijforecast.2019.03.014

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().