Arbeitspapier
Quantifying risk and uncertainty in macroeconomic forecasts
This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both procedures are closely related. The bootstrap is applied to the structural macroeconometric model of the Bundesbank for Germany. Forecast intervals that integrate judgement on risk and uncertainty are obtained.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2007,25
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Forecasting Models; Simulation Methods
Semiparametric and Nonparametric Methods: General
- Thema
-
Macroeconomic forecasts
stochastic forecast intervals
risk
uncertainty
asymmetrically weighted normal distribution
asymmetric bootstrap
Konjunkturprognose
Prognoseverfahren
Risiko
Bootstrap-Verfahren
Theorie
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Knüppel, Malte
Tödter, Karl-Heinz
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 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
- Tödter, Karl-Heinz
- Deutsche Bundesbank
Entstanden
- 2007
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