Quantifying Risk and Uncertainty in Macroeconomic Forecasts

56 Pages Posted: 8 Jun 2016

See all articles by Malte Knüppel

Malte Knüppel

Deutsche Bundesbank - Research Centre

Karl-Heinz Tödter

affiliation not provided to SSRN

Date Written: 2007

Abstract

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.

Keywords: Macroeconomic forecasts, stochastic forecast intervals, risk, uncertainty, asymmetrically weighted normal distribution, asymmetric bootstrap

JEL Classification: E37, C53, C14

Suggested Citation

Knüppel, Malte and Tödter, Karl-Heinz, Quantifying Risk and Uncertainty in Macroeconomic Forecasts (2007). Bundesbank Series 1 Discussion Paper No. 2007,25, Available at SSRN: https://ssrn.com/abstract=2785300 or http://dx.doi.org/10.2139/ssrn.2785300

Malte Knüppel (Contact Author)

Deutsche Bundesbank - Research Centre ( email )

Wilhelm-Epstein-Str. 14
D-60431 Frankfurt/Main
Germany

HOME PAGE: http://sites.google.com/view/malteknueppel-research/home

Karl-Heinz Tödter

affiliation not provided to SSRN

No Address Available

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