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

_IMF Working Papers, May 7, 2021_

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## Bibliographic details
- 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

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### Overview
- 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

### Key findings
- (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.

### Methodology and scope
- 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).

### Interpretation and implications
- 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.

### Subjects and keywords
- 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.*

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_Source: https://www.imf.org/en/publications/wp/issues/2021/05/07/patterns-in-imf-growth-forecast-revisions-a-panel-study-at-multiple-horizons-50240_