Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons

IMF Working Papers, May 7, 2021

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Canonical URL: Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons

Authors: Metodij Hadzi-Vaskov, Luca A Ricci, Alejandro Mariano Werner, Rene Zamarripa
Published: May 7, 2021
Series: IMF Working Papers
DOI: https://doi.org/10.5089/9781513573663.001

This IMF Working Paper investigates the performance of the IMF WEO growth forecast revisions across different horizons and country groups.
Authors: Metodij Hadzi-Vaskov, Luca A Ricci, Alejandro Mariano Werner, Rene Zamarripa
Date: May 7, 2021

(i) growth revisions in horizons closer to the actual are generally larger, more volatile, and more negative;
(ii) on average, growth revisions are in the right direction, becoming progressively more responsive to the forecast error gap as horizons get closer to the actual year;
(iii) growth revisions in systemic economies are relevant for growth revisions in all country groups;
(iv) WEO and Consensus Forecast growth revisions are highly correlated;
(v) fall-to-spring WEO revisions are more correlated with Consensus Forecasts revisions compared to spring-to-fall revisions;
(vi) across vintages, revisions for a given time horizon are not autocorrelated; within vintages, revisions tend to be positively correlated, suggesting perception of persistent short-term shocks.

Empirical approach: panel study at multiple horizons (time-series and panel analysis tools implied by subjects listed).
Forecast sources compared: IMF WEO growth forecasts and Consensus Forecasts.
Focus on heterogeneity by country groups, including systemic economies and regional groupings (e.g., Europe, Caribbean noted in keywords).

Larger, more volatile, and more negative near-term revisions imply uncertainty concentrates as the forecast horizon shortens.
Progressive responsiveness to forecast error gaps closer to the actual year indicates that WEO revisions adjust directionally toward realized outcomes as information improves.
Influence of systemic economies on other country groups highlights cross-country spillovers in growth forecast updating.
High correlation between WEO and Consensus Forecast revisions—and stronger correlation in fall-to-spring revisions—suggests common information flows or synchronized updating across forecasting institutions, with seasonal asymmetry in revision alignment.
Lack of autocorrelation across vintages for a given horizon implies that forecast mistakes are not mechanically carried over vintage-to-vintage for the same horizon; positive within-vintage correlation points to perceptions of persistent short-term shocks driving multiple horizons' revisions simultaneously.

Subject: Econometric analysis, Economic forecasting, Economic sectors, Financial crises, International trade, Technology, Technology transfer, Terms of trade, Time series analysis, Vector autoregression
Keywords: Caribbean, consensus forecast growth revision, consensus forecasts revision, Europe, fall-to-spring WEO revision, growth revision, Technology transfer, Terms of trade, Time series analysis, Vector autoregression, WEO growth forecast

IMF Working Papers — Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons, May 7, 2021.