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Assessing recent external forecasts

Author

Listed:
  • Felipe Labbe
  • Hamish Pepper

    (Reserve Bank of New Zealand)

Abstract

This article compares the performance between external forecasts and Reserve Bank of New Zealand published projections for real GDP growth, CPI inflation, the 90-day interest rate and the trade weighed index (TWI) to examine the accuracy of different forecasts. Since 2003, the Reserve Bank has collected and analysed forecasts from as many as 13 external forecasting agencies as part of the process of monetary policy formulation. The forecasts help to identify risks around the Reserve Bank forecasts. Reserve Bank forecasts are more accurate than most, significantly outperforming the external average for one-year ahead GDP growth, two-year ahead CPI inflation and two-year ahead TWI forecasts. However, our analysis shows that a number of external forecasting agencies perform reasonably well, suggesting that these forecasts are likely to be useful when formulating monetary policy.

Suggested Citation

  • Felipe Labbe & Hamish Pepper, 2009. "Assessing recent external forecasts," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 72, pages 19-25, December.
    • Handle: RePEc:nzb:nzbbul:dec2009:3
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    File URL: http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Bulletins/2009/2009dec72-4labbepepper.pdf
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    Citations

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    Cited by:

    1. McDonald, Christopher & Thamotheram, Craig & Vahey, Shaun P. & Wakerly, Elizabeth C., 2015. "Assessing the Economic Value of Probabilistic Forecasts in the Presence of an Inflation Target," EMF Research Papers 09, Economic Modelling and Forecasting Group.
    2. Kirdan Lees, 2016. "Assessing forecast performance," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 79, pages 1-19., June.
    3. Viv B. Hall & Peter Thomson, 2021. "Does Hamilton’s OLS Regression Provide a “better alternative” to the Hodrick-Prescott Filter? A New Zealand Business Cycle Perspective," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 151-183, November.
    4. Viv B Hall & Peter Thomson, 2020. "Does Hamilton’s OLS regression provide a “better alternative†to the Hodrick-Prescott filter? A New Zealand business cycle perspective," CAMA Working Papers 2020-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    5. Dean Ford & Elizabeth Kendall & Adam Richardson, 2015. "Evaluating monetary policy," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 78, pages 3-21, November.
    6. Warwick Smith & Anca M. Hanea & Mark A. Burgman, 2022. "Can Groups Improve Expert Economic and Financial Forecasts?," Forecasting, MDPI, vol. 4(3), pages 1-18, August.

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