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
Date Written: November 12, 2012
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: Suggested Citation