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

本稿は、経済学者・エコノミストの長期的なマクロ経済予測の精度を事後評価する。分析結果によれば、①経済成長率や物価上昇率の長期予測には上方バイアスが存在し、特に名目GDP成長率予測で顕著である。②TFP上昇率と実質GDP成長率の予測値の間、CPI上昇率と名目GDP成長率の予測値の間には密接な正の関係があり、結果として各変数の予測誤差相互間にも同様の関係がある。③民間エコノミストに比べて経済学者の長期的なGDP成長率予測は上方バイアスが小さい。しかし、マクロ経済学や経済成長論を専門分野とする人の成長率予測は、他の分野を専門とする人に比べて上方バイアスが大きい。経済分析の専門家にとっても、長期経済予測には大きな不確実性があることを示している。

本稿は、日本語版のディスカッション・ペーパー（19-J-058）に修正を加えた上で英語版にしたものである。

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.

Published: Morikawa, Masayuki, 2022. "Uncertainty in long-term macroeconomic forecasts: Ex post evaluation of forecasts by economics researchers," The Quarterly Review of Economics and Finance, Volume 85 (2022), 8-15.
https://www.sciencedirect.com/science/article/abs/pii/S1062976920301344