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An Evaluation of the Predictive Densities from the Riksbank’s Macroeconomic Forecasts
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Approximately a decade ago, the Riksbank added predictive densities to important macroeconomic forecasts in the monetary policy reports. The objective of this thesis is to evaluate the precision of the Riksbank’s published predictive densities for three important macroeconomic variables: GDP, CPIF and the repo rate. By employing multiple tests on the probability integral transform and the inverse normal of the probability integral transform, the aim is to address the uniformity and normality of the distribution simplied by the predictive densities. The results of this thesis suggest that the predictive densities of GDP are the mos tconsistent with the outcomes, especially in the subsample period between 2011-2017. By contrast, the forecast distributions for CPIF and the repo rate are rejected in most of the tests.

Place, publisher, year, edition, pages
2018.
Keywords [en]
Sveriges Riksbank, predictive density, macroeconomic forecast, forecast evaluation
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-355617OAI: oai:DiVA.org:uu-355617DiVA, id: diva2:1229936
Supervisors
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Available from: 2018-07-02 Created: 2018-07-02 Last updated: 2018-07-02Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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