Information Rigidities In Economic Growth Forecasts
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Information Rigidities In Economic Growth Forecasts
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Author : Jonas Dovern
language : en
Publisher: International Monetary Fund
Release Date : 2013-02-27
Information Rigidities In Economic Growth Forecasts written by Jonas Dovern and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-27 with Business & Economics categories.
We examine the behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989–2010. Our main findings are as follows. First, our evidence does not support the validity of the sticky information model (Mankiw and Reis, 2002) for describing the dynamics of professional growth forecasts. Instead, the empirical evidence is more in line with implications of "noisy" information models (Woodford, 2002; Sims, 2003). Second, we find that information rigidities are more pronounced in emerging economies than advanced economies. Third, there is evidence of nonlinearities in forecast smoothing. It is less pronounced in the tails of the distribution of individual forecast revisions than in the central part of the distribution.
Information Rigidities
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Author : Jonas Dovern
language : en
Publisher: International Monetary Fund
Release Date : 2014-02-12
Information Rigidities written by Jonas Dovern and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-12 with Business & Economics categories.
We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that the degree of information rigidity in average forecasts is substantially higher than that in individual forecasts. Individual level forecasts are updated quite frequently, a behavior more in line “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.
Information Rigidity In Growth Forecasts
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Author : Ms.Natalia T. Tamirisa
language : en
Publisher: International Monetary Fund
Release Date : 2011-06-01
Information Rigidity In Growth Forecasts written by Ms.Natalia T. Tamirisa and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-01 with Business & Economics categories.
We document information rigidity in forecasts for real GDP growth in 46 countries over the past two decades. We investigate: (i) if rigidities are lower around turning points in the economy, such as in times of recessions and crises; (ii) if rigidities differ across countries, particularly between advanced countries and emerging markets; and (iii) how quickly forecasters incorporate news about growth in other countries into their growth forecasts, with a focus on how advanced countries‘ growth forecasts incorporate news about emerging market growth and vice versa.
Information Rigidity And The Expectations Formation Process
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Author : Mr.Olivier Coibion
language : en
Publisher: International Monetary Fund
Release Date : 2012-12-20
Information Rigidity And The Expectations Formation Process written by Mr.Olivier Coibion and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-20 with Business & Economics categories.
We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the arise from information rigidities. This approach quantifies the economic significance of departures from the and the underlying degree of information rigidity. Applying this approach to U.S. and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process.
Information Rigidity And The Expectations Formation Process A Simple Framework And New Facts
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Author : Olivier Coibion
language : en
Publisher:
Release Date : 2010
Information Rigidity And The Expectations Formation Process A Simple Framework And New Facts written by Olivier Coibion and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Economics categories.
We propose a new approach to test of the null of full-information rational expectations which is informative about whether rejections of the null reflect departures from rationality or full-information. This approach can also quantify the economic significance of departures from the null by mapping them into the underlying degree of information rigidity faced by economic agents. Applying this approach to both U.S. and cross-country data of professional forecasters and other economic agents yields pervasive evidence of informational rigidities that can be explained by models of imperfect information. Furthermore, the proposed approach sheds new light on the implications of policies such as inflation-targeting and those leading to the Great Moderation on expectations. Finally, we document evidence of state-dependence in the expectations formation process.
Financial Information And Macroeconomic Forecasts
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Author : Sophia Chen
language : en
Publisher: International Monetary Fund
Release Date : 2017-01-18
Financial Information And Macroeconomic Forecasts written by Sophia Chen and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-18 with Business & Economics categories.
We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have considerable predictive power for macroeconomic variables at one to four quarters horizons. A forecasting model with financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85 percent of our sample countries at the four quarters horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.
How Well Do Economists Forecast Recessions
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Author : Zidong An
language : en
Publisher: International Monetary Fund
Release Date : 2019-03-05
How Well Do Economists Forecast Recessions written by Zidong An and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-05 with Business & Economics categories.
We describe the evolution of forecasts in the run-up to recessions. The GDP forecasts cover 63 countries for the years 1992 to 2014. The main finding is that, while forecasters are generally aware that recession years will be different from other years, they miss the magnitude of the recession by a wide margin until the year is almost over. Forecasts during non-recession years are revised slowly; in recession years, the pace of revision picks up but not sufficiently to avoid large forecast errors. Our second finding is that forecasts of the private sector and the official sector are virtually identical; thus, both are equally good at missing recessions. Strong booms are also missed, providing suggestive evidence for Nordhaus’ (1987) view that behavioral factors—the reluctance to absorb either good or bad news—play a role in the evolution of forecasts.
Forecasts In Times Of Crises
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Author : Theo S. Eicher
language : en
Publisher: International Monetary Fund
Release Date : 2018-03-09
Forecasts In Times Of Crises written by Theo S. Eicher and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-09 with Business & Economics categories.
Financial crises pose unique challenges for forecast accuracy. Using the IMF’s Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in times of crises. We examine 29 macroeconomic variables in terms of bias, efficiency, and information content to find that IMF forecasts add substantial informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of nominal GDP, public investment, private investment, the current account, net transfers, and government expenditures) exhibit significant forecast bias. Forecasts for low-income countries are the main drivers of forecast bias and inefficiency, reflecting perhaps larger shocks and lower data quality. When we decompose the forecast errors into their sources, we find that forecast errors for private consumption growth are the key contributor to GDP growth forecast errors. Similarly, forecast errors for non-interest expenditure growth and tax revenue growth are crucial determinants of the forecast errors in the growth of fiscal budgets. Forecast errors for balance of payments growth are significantly influenced by forecast errors in goods import growth. The results highlight which macroeconomic aggregates require further attention in future forecast models for countries in crises.
Overfitting In Judgment Based Economic Forecasts The Case Of Imf Growth Projections
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Author : Klaus-Peter Hellwig
language : en
Publisher: International Monetary Fund
Release Date : 2018-12-07
Overfitting In Judgment Based Economic Forecasts The Case Of Imf Growth Projections written by Klaus-Peter Hellwig and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-07 with Business & Economics categories.
I regress real GDP growth rates on the IMF’s growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimating the forces of mean reversion. I identify several such variables that explain forecasts well but are not predictors of actual growth. I show that, at long horizons, IMF forecasts are little better than a forecasting rule that uses no information other than the historical global sample average growth rate (i.e., a constant). Given the large noise component in forecasts, particularly at longer horizons, the paper calls into question the usefulness of judgment-based medium and long-run forecasts for policy analysis, including for debt sustainability assessments, and points to statistical methods to improve forecast accuracy by taking into account the risk of overfitting.
Evaluating Cpb S Published Gdp Growth Forecasts
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Author :
language : en
Publisher:
Release Date : 2008
Evaluating Cpb S Published Gdp Growth Forecasts written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Economic development categories.