Estimates of Uncertainty Around the RBA's Forecasts

Reserve Bank of Australia RDP 2012-07

56 Pages Posted: 12 Nov 2012 Last revised: 19 Sep 2014

See all articles by Peter Tulip

Peter Tulip

Reserve Bank of Australia

Stephanie Wallace

affiliation not provided to SSRN

Date Written: November 12, 2012

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.

Keywords: forecast errors, uncertainty, Reserve Bank of Australia, fan charts, confidence intervals

JEL Classification: E17, E27, E37

Suggested Citation

Tulip, Peter and Wallace, Stephanie, Estimates of Uncertainty Around the RBA's Forecasts (November 12, 2012). Reserve Bank of Australia RDP 2012-07. Available at SSRN: https://ssrn.com/abstract=2174220 or http://dx.doi.org/10.2139/ssrn.2174220

Peter Tulip (Contact Author)

Reserve Bank of Australia ( email )

GPO Box 3947
Sydney, NSW 2001
Australia
61-2-9551-8831 (Phone)

HOME PAGE: http://www.petertulip.com

Stephanie Wallace

affiliation not provided to SSRN ( email )

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