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

IMF Working Papers, February 27, 2013

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

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Bibliographic details

• Authors: Jonas Dovern, Ulrich Fritsche, Prakash Loungani, Natalia T. Tamirisa
• Published: February 27, 2013
• Series: IMF Working Papers
• DOI: https://doi.org/10.5089/9781475562958.001

Summary and main findings

• Study examines behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989–2010.
• Main findings:
  • Evidence does not support the validity of the sticky information model (Mankiw and Reis, 2002) for describing the dynamics of professional growth forecasts.
  • Empirical evidence is more in line with implications of "noisy" information models (Woodford, 2002; Sims, 2003).
  • Information rigidities are more pronounced in emerging economies than advanced economies.
  • There is evidence of nonlinearities in forecast smoothing; nonlinearities are less pronounced in the tails of the distribution of individual forecast revisions than in the central part of the distribution.

Data and methods (as described)

• Panel of individual forecasts for real GDP growth covering 30 advanced and emerging economies.
• Sample period: 1989–2010.
• Key methodological references: sticky information model (Mankiw and Reis, 2002); noisy information models (Woodford, 2002; Sims, 2003).
• Keywords and technical terms used: ABB estimator, data set, Estimation techniques, expectations, forecast, forecast data, horizon-indicator function, information, information rigidity, Rational expectations, real-time data vintage, rigidity coefficient, WP.

Authors and publication

• By Jonas Dovern, Ulrich Fritsche, Prakash Loungani, Natalia T. Tamirisa
• Publication date: February 27, 2013
• Series: Working Paper No. 2013/056
• Issue: 056
• Volume: 2013
• Pages: 24
• DOI: https://doi.org/10.5089/9781475562958.001
• Stock No: WPIEA2013056
• ISBN: 9781475562958
• ISSN: 1018-5941

IMF Working Paper — Information Rigidities in Economic Growth Forecasts: Evidence from a Large International Panel

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