Arbeitspapier
Evaluating macroeconomic risk forecasts
Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness outperforms the standard third-moment-based skewness as a measure of asymmetry. We consider problems of the tests likely to be encountered in practice and try to offer remedies where possible. In general, tests for macroeconomic risk forecast optimality tend to have at best moderate power given the empirically available small sample sizes.
- ISBN
-
978-3-86558-723-7
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2011,14
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Hypothesis Testing: General
Forecasting Models; Simulation Methods
- Thema
-
forecast evaluation
asymmetric densities
skewness
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Knüppel, Malte
Schultefrankenfeld, Guido
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Knüppel, Malte
- Schultefrankenfeld, Guido
- Deutsche Bundesbank
Entstanden
- 2011
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