Problems in evaluating accuracy and consistency of macroeconomic forecasts

Abstract

The paper focuses on the analysis of the quality of macroeconomic forecasts, as well as on general issues of the functioning of the system of macroeconomic forecasting in the Republic of Kazakhstan. It provides a comparative analysis of errors of initial and revised macroeconomic forecasts of the real sector of economy indicators. To assess forecast accuracy, the authors use the world’s most widespread measures, such as the mean error and the mean absolute percentage error, as well as official statistical data and records. The overall forecast consistency and congruence of assumptions on the dynamics of indicators of the real sector and fiscal policy are estimated using the basic identities of the System of National Accounts. The paper also considers institutional aspects of the system of macroeconomic forecasting in the Republic of Kazakhstan. The authors conclude that revised forecasts, with the exception of monetary policy indicators, exhibit a smaller error, which can indicate a need for greater coordination of public authorities in the process of preparing forecasts, developing the system of independent assessment of their quality and improving their transparency.