the riksbanks forecasting performance deputy governor svante berg
DESCRIPTION
Figure 2. Employment outcomes and forecasts Annual percentage change Sources: Statistics Sweden and the RiksbankTRANSCRIPT
The Riksbank’s forecasting
performance
Deputy Governor Svante Öberg
Figure 1. GDP outcomes and forecastsAnnual percentage change
0
1
2
3
4
5
6
mar-00 mar-01 mar-02 mar-03 mar-04 mar-05 mar-06 mar-070
1
2
3
4
5
6
Sources: Statistics Sweden and the Riksbank
Figure 2. Employment outcomes and forecasts Annual percentage change
-1,0
0,0
1,0
2,0
3,0
4,0
mar-01 mar-02 mar-03 mar-04 mar-05 mar-06 mar-07-1,0
0,0
1,0
2,0
3,0
4,0
Sources: Statistics Sweden and the Riksbank
Figure 3. CPIX outcomes and forecastsAnnual percentage change
-0,5
0,0
0,5
1,0
1,5
2,0
2,5
3,0
3,5
mar-00 mar-01 mar-02 mar-03 mar-04 mar-05 mar-06 mar-07-0,5
0,0
0,5
1,0
1,5
2,0
2,5
3,0
3,5
Sources: Statistics Sweden and the Riksbank
Figure 4. Productivity outcomes and forecasts Annual percentage change
-2,0
-1,0
0,0
1,0
2,0
3,0
4,0
5,0
mar-01 mar-02 mar-03 mar-04 mar-05 mar-06 mar-07-2,0
-1,0
0,0
1,0
2,0
3,0
4,0
5,0
Sources: Statistics Sweden and the Riksbank
Figure 5. Forecasting memory, GDPPercentage points
0,0
0,1
0,2
0,3
0,4
0,5
1 2 3 4 5 6 7 8
RiksbankTime series model (AR(1))Standard deviation
Sources: Statistics Sweden and the Riksbank
Kvartal
Figure 6. Forecasting memory, employment Percentage points
0,0
0,1
0,2
0,3
0,4
0,5
1 2 3 4 5 6 7 8
RiksbankTime series model (AR(1))Standard deviation
Sources: Statistics Sweden and the Riksbank
Kvartal
Figure 7. Forecasting memory, productivityPercentage points
0,0
0,1
0,2
0,3
0,4
0,5
0,6
0,7
1 2 3 4 5 6 7 8
RiksbankTime series model (AR(1))Standard deviation
Sources: Statistics Sweden and the Riksbank
Kvartal
Figure 8. Forecasting memory for the KPIXPercentage points
0,0
0,1
0,2
0,3
0,4
0,5
0,6
0,7
1 2 3 4 5 6 7 8
RiksbankTime series model (AR(1) with seasonal dummies)Standard deviation
Sources: Statistics Sweden and the Riksbank
Kvartal
Figure 9. Correlations between forecasts and outcomes for the different variablesAnnual rates of change
Sources: Statistics Sweden and the Riksbank
-1,0
-0,8
-0,6
-0,4
-0,2
0,0
0,2
0,4
0,6
0,8
1,0
1 2 3 4 5 6 7 8
Forecast horizon (quarterly)
Per c
ent
-1,0
-0,8
-0,6
-0,4
-0,2
0,0
0,2
0,4
0,6
0,8
1,0
GDPEmployedCPIXCPIGDP per employed
Figure 10. Mean error for forecasts, an annual rate Percentage points
Sources: Statistics Sweden and the Riksbank
Forecast horizon (quarterly)
-0,80
-0,60
-0,40
-0,20
0,00
0,20
0,40
0,60
0,80
0 1 2 3 4 5 6 7 8-0,80
-0,60
-0,40
-0,20
0,00
0,20
0,40
0,60
0,80
GDP Employment CPIX CPI GDP/empolyment
Figure 11. Ranking for GDP following yearPer centNote. The Y-axis shows how large a percentage of times analysts have been better than the percentage of analysts as illustrated in the X-axis. In order to see how large a proportion of times the Riksbank has been better than 50 per cent of other analysts, see 50 on the X-axis, then study the red column on the Y-axis.
0
20
40
60
80
100
50 60 70 80 90
RiksbankNIERConsensusTime series model (AR(1))
Sources: Statistics Sweden, the National Institute of Economic Research, Consensus Forecasts and the Riksbank
Figure 12. Ranking for the CPI following yearPer cent Note. The Y-axis shows how large a percentage of times analysts have been better than the percentage of analysts as illustrated in the X-axis. In order to see how large a proportion of times the Riksbank has been better than 50 per cent of other analysts, see 50 on the X-axis, then study the red column on the Y-axis.
0
20
40
60
80
100
50 60 70 80 90
RiksbankNIERConsensusTime series model (AR(1))
Sources: Statistics Sweden, the National Institute of Economic Research, Consensus Forecasts and the Riksbank
Figure 13. The CPIX with uncertainty bandAnnual percentage change
-1
0
1
2
3
4
dec-02 dec-03 dec-04 dec-05 dec-06 dec-07 dec-08 dec-09 dec-10-1
0
1
2
3
490%75%50%UND1X
Sources: Statistics Sweden and the Riksbank
Figure 14. Repo rate with uncertainty bandPer cent, quarterly averages
0
1
2
3
4
5
6
7
dec-02 dec-03 dec-04 dec-05 dec-06 dec-07 dec-08 dec-09 dec-100
1
2
3
4
5
6
790%75%50%Reporänta
Source: The Riksbank