Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel

By Jonas Dovern, Ulrich Fritsche, Prakash Loungani, Natalia T. Tamirisa

February 12, 2014

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Jonas Dovern, Ulrich Fritsche, Prakash Loungani, and Natalia T. Tamirisa Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel, (USA: International Monetary Fund, 2014) accessed November 23, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that 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 “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.

Subject: Econometric analysis, Economic theory, Estimation techniques, Expenditure, Public expenditure review, Rational expectations

Keywords: Aggregation bias, Data set, Density estimate, Estimation techniques, Forecast behaviour, Forecast data, Forecast revision, Growth forecasts, Information rigidity, OLS estimator, Public expenditure review, Rational expectations, Rational inattention, Real-time data vintage, Rigidity coefficient, Smoothing parameter, Standard deviation, WP

Publication Details

Pages:

24
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2014/031
Stock No:

WPIEA2014031
ISBN:

9781484305201
ISSN:

1018-5941

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