Information Rigidities in Economic Growth Forecasts: Evidence from a Large International Panel

 
Author/Editor: Dovern, Jonas ; Fritsche, Ulrich ; Loungani, Prakash ; Tamirisa, Natalia
 
Publication Date: February 27, 2013
 
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Summary: 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.
 
Series: Working Paper No. 13/56
Subject(s): Economic growth | Developed countries | Emerging markets | Economic forecasting

 
English
Publication Date: February 27, 2013
ISBN/ISSN: 9781475562958/2227-8885 Format: Paper
Stock No: WPIEA2013056 Pages: 24
Price:
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