… , such as the decline in macroeconomic volatility associated with the Great Moderation …
that risks around consensus forecasts are unpredictable. In our out-of-sample evaluation, …

… While there is a vast literature concerning the evaluation of point forecasts, we are not …
nature of macroeconomic risk forecast evaluation. Macroeconomic risk forecast evaluation has to …

… In this section we summarize the results of the many studies that have evaluated the
accuracy of macroeconomic forecasts. We examine both the turning point errors and various …

… To evaluate density forecasts, we use the continuous ranked probability score (CRPS). One
advantage is that it suffices to retain the quartiles of the predicted densities to compute it6. …

… In this paper, we study the role of systemic risk in predictions of macroeconomic shocks in …
entire distributions of macroeconomic shocks. Individual systemic risk measures significantly …

… forecast evaluation (to evaluate horse-races betweentwo competing models) andtests
forabsolute forecast evaluation (toevalu-ate individual forecasting … forecast evaluation procedures …

… The reduced information does not alter the local accuracy of our forecast of the signal. While
… This valuation is not conditional on any information, so at the outset we simply evaluate g at …

… In order to qualitatively evaluate the forecasting accuracy of survey-based forecasts, we … for
the macroeconomic variables. Our empirical findings suggest that essentially all the forecasts …

… evaluated based on our riskforecast evaluation. However, if … macroeconomic risk forecasts
are meaningful. If inflation is actually endogenous with respect to a central bank’s risk forecast…

… Furthermore, an out-of-sample evaluation is conducted to evaluate how important it is to …
In this research, macroeconomic risk of three variables is quantified. This is analysed by means …