{
  "title": "Forecasts in Times of Crises",
  "publication": "IMF Working Papers, March 9, 2018",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2018/03/09/forecasts-in-times-of-crises-45697",
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  "summary": "Financial crises pose unique challenges for forecast accuracy. Using the IMF’s Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in times of crises.",
  "sections": [
    {
      "heading": "Publication metadata",
      "content": "- Title: Forecasts in Times of Crises  \n- Authors: Theo S. Eicher, David J. Kuenzel, Chris Papageorgiou, Charalambos Christofides  \n- Date: March 9, 2018  \n- Series: Working Paper No. 2018/048  \n- Volume: 2018; Issue: 048; Pages: 33  \n- DOI: https://doi.org/10.5089/9781484345436.001  \n- Stock No: WPIEA2018048  \n- ISBN: 9781484345436  \n- ISSN: 1018-5941"
    },
    {
      "heading": "Research scope and methods",
      "content": "- Data source: IMF’s Monitoring of Fund Arrangement (MONA) database.  \n- Variables analyzed: 29 macroeconomic variables assessed for bias, efficiency, and information content.  \n- Comparative benchmark: IMF forecasts evaluated against naive forecast approaches."
    },
    {
      "heading": "Key findings",
      "content": "- IMF forecasts add substantial informational value as they consistently outperform naive forecast approaches.  \n- Two thirds of the key macroeconomic variables examined are forecast inefficiently.  \n- Six variables exhibit significant forecast bias:\n  - growth of nominal GDP  \n  - public investment  \n  - private investment  \n  - the current account  \n  - net transfers  \n  - government expenditures  \n- Forecasts for low-income countries are the main drivers of forecast bias and inefficiency, reflecting perhaps larger shocks and lower data quality."
    },
    {
      "heading": "Decomposition of forecast errors",
      "content": "- GDP growth forecast errors:\n  - Forecast errors for private consumption growth are the key contributor to GDP growth forecast errors.  \n- Fiscal budget forecast errors:\n  - Forecast errors for non-interest expenditure growth and tax revenue growth are crucial determinants of the forecast errors in the growth of fiscal budgets.  \n- Balance of payments forecast errors:\n  - Forecast errors for balance of payments growth are significantly influenced by forecast errors in goods import growth."
    },
    {
      "heading": "Implications for forecasting and policy",
      "content": "- IMF forecasts contain valuable information but exhibit systematic inefficiencies and biases across many aggregates, indicating scope for methodological improvement.  \n- Particular aggregates requiring further attention in future forecast models for countries in crises:\n  - nominal GDP growth  \n  - public investment and private investment growth  \n  - current account and net transfers  \n  - government expenditures  \n  - private consumption growth (for GDP errors)  \n  - non-interest expenditure growth and tax revenue growth (for fiscal errors)  \n  - goods import growth (for balance of payments errors)  \n- Special focus recommended on forecasts for low-income countries due to their outsized role in driving bias and inefficiency.\n\nSource: IMF Working Paper \"Forecasts in Times of Crises\" (Working Paper No. 2018/048), March 9, 2018.\n\n---\n\n Content in this bundle\n\n- Forecasts in Times of Crises, WP/18/48, March 2018\n  - Forecasts in Times of Crises, WP/18/48, March 2018 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Forecasts in Times of Crises, WP/18/48, March 2018 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2018/03/09/forecasts-in-times-of-crises-45697"
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    "Authors: Theo S. Eicher, David J. Kuenzel, Chris Papageorgiou, Charalambos Christofides",
    "Published: March 9, 2018",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781484345436.001",
    "Title: Forecasts in Times of Crises",
    "Authors: Theo S. Eicher, David J. Kuenzel, Chris Papageorgiou, Charalambos Christofides",
    "Date: March 9, 2018",
    "Series: Working Paper No. 2018/048",
    "Volume: 2018; Issue: 048; Pages: 33",
    "DOI: https://doi.org/10.5089/9781484345436.001",
    "Stock No: WPIEA2018048",
    "ISBN: 9781484345436",
    "ISSN: 1018-5941",
    "Data source: IMF’s Monitoring of Fund Arrangement (MONA) database.",
    "Variables analyzed: 29 macroeconomic variables assessed for bias, efficiency, and information content.",
    "Comparative benchmark: IMF forecasts evaluated against naive forecast approaches.",
    "IMF forecasts add substantial informational value as they consistently outperform naive forecast approaches.",
    "Two thirds of the key macroeconomic variables examined are forecast inefficiently.",
    "Six variables exhibit significant forecast bias:",
    "Forecasts for low-income countries are the main drivers of forecast bias and inefficiency, reflecting perhaps larger shocks and lower data quality.",
    "GDP growth forecast errors:",
    "Fiscal budget forecast errors:",
    "Balance of payments forecast errors:",
    "IMF forecasts contain valuable information but exhibit systematic inefficiencies and biases across many aggregates, indicating scope for methodological improvement.",
    "Particular aggregates requiring further attention in future forecast models for countries in crises:",
    "Special focus recommended on forecasts for low-income countries due to their outsized role in driving bias and inefficiency.",
    "**Forecasts in Times of Crises, WP/18/48, March 2018**"
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