A Real Time Evaluation of Bank of England Forecasts of Inflation and Growth

Abstract

We compare the Bank of England’s Inflation Report quarterly forecasts for growth and inflation to real-time benchmark forecasts. The results reveal the well-known difficulty of forecasting in a stable macroeconomic environment, and the Inflation Report forecasts of GDP growth are generally inferior to forecasts from linear and non-linear univariate models. However, for the inflation forecast the Inflation Report is clearly dominant.

Citation

Groen, J. J. J., G. Kapetanios and S. Price (2009), “A Real Time Evaluation of Bank of England Forecasts of Inflation and Growth” International Journal of Forecasting: Vol. 25, pages 74–80.