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RESERVE BANK OF AUSTRALIA

Research Discussion Paper – November 2012

Estimates of Uncertainty around the RBA's Forecasts

Peter Tulip and Stephanie Wallace

RDP2012-07

Download the Paper [PDF 713K] and the Data.

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.