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Estimates of Uncertainty around the RBA's Forecasts

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  • Peter Tulip

    (Reserve Bank of Australia)

  • Stephanie Wallace

    (Reserve Bank of Australia)

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    Abstract

    We use past forecast errors to construct confidence intervals and other estimates of uncertainty around the Reserve Bank of Australia's forecasts of key macroeconomic variables. Our estimates suggest that uncertainty about forecasts is high. We find that the RBA's forecasts have substantial explanatory power for the inflation rate but not for GDP growth.

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    File URL: http://www.rba.gov.au/publications/rdp/2012/pdf/rdp2012-07.pdf
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    Bibliographic Info

    Paper provided by Reserve Bank of Australia in its series RBA Research Discussion Papers with number rdp2012-07.

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    Date of creation: Nov 2012
    Date of revision:
    Handle: RePEc:rba:rbardp:rdp2012-07

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    Keywords: forecast errors; confidence intervals;

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    1. Andrew Stone & Sharon Wardrop, 2002. "Real-time National Accounts Data," RBA Research Discussion Papers rdp2002-05, Reserve Bank of Australia.
    2. repec:att:wimass:9220 is not listed on IDEAS
    3. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 631-53, October.
    4. David H. Romer & Christina D. Romer, 2000. "Federal Reserve Information and the Behavior of Interest Rates," American Economic Review, American Economic Association, vol. 90(3), pages 429-457, June.
    5. Kenneth D. West, 1995. "Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," NBER Technical Working Papers 0183, National Bureau of Economic Research, Inc.
    6. Jonathan Kearns & Philip Lowe, 2011. "Australia's Prosperous 2000s: Housing and the Mining Boom," RBA Annual Conference Volume, in: Hugo Gerard & Jonathan Kearns (ed.), The Australian Economy in the 2000s Reserve Bank of Australia.
    7. Campbell, Sean D., 2007. "Macroeconomic Volatility, Predictability, and Uncertainty in the Great Moderation: Evidence From the Survey of Professional Forecasters," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 191-200, April.
    8. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
    9. Peter Tulip, 2009. "Has the Economy Become More Predictable? Changes in Greenbook Forecast Accuracy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1217-1231, 09.
    10. Hugo Gerard & Kristoffer Nimark, 2008. "Combining Multivariate Density Forecasts Using Predictive Criteria," RBA Research Discussion Papers rdp2008-02, Reserve Bank of Australia.
    11. Charles Goodhart, 2009. "The Interest Rate Conditioning Assumption," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 85-108, June.
    12. Lukas Vogel, 2007. "How do the OECD Growth Projections for the G7 Economies Perform?: A Post-Mortem," OECD Economics Department Working Papers 573, OECD Publishing.
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