Uncertainty in Long-Term Macroeconomic Forecasts: Ex post Evaluation of Forecasts by Economics Researchers

         
Author Name MORIKAWA Masayuki (Vice President, RIETI)
Creation Date/NO. October 2019 19-E-084
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Abstract

This study presents an ex post evaluation of the accuracy of long-term macroeconomic forecasts made by economics researchers. The results indicate, first, that the economic growth and inflation forecasts for the next ten years are biased upward. Second, there are positive correlations between real gross domestic product (GDP) and total factor productivity (TFP) growth forecasts, and between nominal GDP growth and consumer price index (CPI) inflation forecasts, resulting in the same correlations between forecasting errors for these macroeconomic variables. Third, GDP growth forecasts by academic researchers in economics are less upwardly biased than those by professional forecasters in private institutes. However, the upward bias of academic researchers specializing in macroeconomics and economic growth is larger than those in the other research fields. These results indicate that long-term economic forecasting involves significant uncertainty, even for economists.

This is the English version of the Japanese Discussion Paper (19-J-058) with some additional information and changes.