Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons
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Summary:
This paper investigates the performance of the IMF WEO growth forecast revisions across different horizons and country groups. We find that: (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; and (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.
Series:
Working Paper No. 2021/136
Subject:
Econometric analysis Economic forecasting Economic sectors Financial crises International trade Technology Technology transfer Terms of trade Time series analysis Vector autoregression
Frequency:
regular
English
Publication Date:
May 7, 2021
ISBN/ISSN:
9781513573663/1018-5941
Stock No:
WPIEA2021136
Pages:
57
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