Scandinavian Working Papers in Economics

Research Papers in Economics,
Stockholm University, Department of Economics

No 2010:11: Sveriges Riksbank's Inflation Interval Forecasts 1999-2005

Michael Lundholm ()
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Michael Lundholm: Dept. of Economics, Stockholm University, Postal: Department of Economics, Stockholm University, S-106 91 Stockholm, Sweden

Abstract: Are Sveriges Riksbank's inflation (CPI and KPIX) interval forecasts calibrated in the sense that the intervals cover realised inflation with the stated ex ante coverage probabilities 50, 75 and 90 percent? In total 150 interval forecast 1999:Q2-2005:Q2 are assessed for CPI and KPIX. The main result is that the forecast uncertainty is understated, but there are substantial differences between individual forecast origins and inflation measures.

Keywords: Inflation; forecast; interval forecast; forecast uncertainty

JEL-codes: C53; E31; E37

14 pages, June 23, 2010

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