The predictive power of ECB’s interval forecasts over point forecasts
The predictive power of ECB’s interval forecasts over point forecasts
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欧洲央行区间预测相对于点预测的预测能力
DOI：
10.1080/13504851.2020.1820439
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发表时间：
2020
影响因子：
1.6
通讯作者：
Y. Tsuchiya
中科院分区：
文献类型：
--
作者：
Y. Tsuchiya
摘要 本研究考察了欧洲央行 (ECB) 发布的区间预测。为了研究这些预测是否提供了比中点预测更多的信息，我们使用回归方法来考虑预测的区间性质。欧洲央行未来 3 个月通胀预测的价差包含超过中点预测的额外信息，而长期预测则没有额外信息。这表明未来 3 个月通胀预测的利差是一个很好的不确定性指标。此外，我们的研究结果表明，未来 3 个月通胀预测的扩散补充了通常与长期经济活动下降相关的其他不确定性指标。
ABSTRACT This study examines interval forecasts released by the European Central Bank (ECB). To investigate whether these projections provide additional information over midpoint forecasts, we use a regression approach considering the interval nature of projections. The spread of a 3-month-ahead inflation forecast of the ECB has additional information for over midpoint forecasts while that of longer-term forecasts had no additional information. This indicates that the spread of a 3-month-ahead inflation forecast is a good indicator of uncertainty. Moreover, our finding suggests that the spread of a 3-month-ahead inflation forecast complements other measures of uncertainty that are often associated with declines in economic activity for longer term.