Incorporating Market Information into the Construction of the Fan Chart

August 1, 2009

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the paper goes through the theoretical and practical considerations of this new approach. The resulting spreadsheet, which implements the approach, is available upon request from the authors.

Subject: Asset prices, GDP forecasting, Inflation, Oil prices, Options

Keywords: density function, normal distribution, WP

Pages:
21
Volume:
2009
DOI:
https://doi.org/10.5089/9781451873252.001
Issue:
178
Series:
Working Paper No. 2009/178
Stock No:
WPIEA2009178
ISBN:
9781451873252
ISSN:
1018-5941

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