| Abstract: |
This paper describes the official Riksbank forecasts for the period 2000-06.
The forecast variables are those that are important for monetary policy
analysis, i.e. inflation, GDP, productivity, employment, labour force,
unemployment and financial variables such as interest rate and foreign
exchange rate. The Riksbank’s forecasts are presented and analyzed and
compared with alternative forecasts, that is, those from other institutions
and simple statistical models. One important message from the study is that
macroeconomic forecasts are associated with an appreciable uncertainty; the
forecast errors are often sizeable. The forecast memory, defined as how far
the forecasts are more informative than the variables unconditional mean, is
usually limited to the first year. Furthermore, we find that the inflation
forecasts exhibit several appealing features, such as a predictability memory
that (possibly) includes the second year, relatively low RMSE and weak
efficiency. The forecasts for the investigated real variables are shown to be
less precise and they have a shorter forecast memory. The exchange rate
predictions demonstrate the least accurate (of the investigated variables)
forecasts. Compared to other forecasters, the Riksbank’s predictions are often
more accurate. This holds for a comparison with the National Institute of
Economic Research, even though the differences are statistically
insignificant, as well as for a comparison with the participants in the
Consensus Forecasts panel, where the Riksbank’s predictions often are among
the best. We also find indications that misjudgements for productivity growth
have had effects on forecasts for both inflation and GDP, but the results
suggest that the Riksbank has considered available information in an
acceptable fashion. This is also true for the undertaken revisions (from one
forecast occasion to another) of the published forecasts. |