Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel
IMF Working Papers, February 12, 2014
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- Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel
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Bibliographic details
- Authors: Jonas Dovern, Ulrich Fritsche, Prakash Loungani, Natalia T. Tamirisa
- Published: February 12, 2014
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484305201.001
Summary and main findings
- Study of forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010.
- 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 with “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002).
- There are cross-country variations in information rigidity, but no systematic difference between advanced and emerging economies.
Methods and technical focus
- Econometric analysis comparing average versus individual forecast behavior.
- Emphasis on estimation techniques and measures of rigidity, including references to:
- rigidity coefficient
- smoothing parameter
- OLS estimator
- standard deviation
- Use of real-time data vintage and forecast revision analysis.
- Keywords highlighting methodological and theoretical orientation: aggregation bias, density estimate, Estimation techniques, forecast behaviour, forecast data, forecast revision, growth forecasts, information rigidity, Public expenditure review, Rational expectations, Rational inattention, WP.
Interpretations and theoretical implications
- Evidence supports models with frequent updating at the individual forecaster level (noisy information frameworks) rather than the sticky information model.
- Aggregation amplifies observed information rigidity: average forecasts display substantially higher rigidity than underlying individual forecasts.
- Cross-country heterogeneity exists, but advanced versus emerging economy classification does not systematically explain differences in rigidity.
Relevance and subject classification
- Subjects: Econometric analysis, Economic theory, Estimation techniques, Expenditure, Public expenditure review, Rational expectations.
- Practical relevance for researchers and policymakers interested in forecast behavior, forecast revision dynamics, and the implications of aggregation for perceived information rigidity.
IMF Working Papers — Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel (Working Paper No. 2014/031).
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- Microsoft Word - WP Rigities Forecasters.docx