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

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

February 27, 2013

Preview Citation

Format: Chicago

Jonas Dovern, Ulrich Fritsche, Prakash Loungani, and Natalia T. Tamirisa Information Rigidities in Economic Growth Forecasts: Evidence from a Large International Panel, (USA: International Monetary Fund, 2013) accessed December 21, 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 examine the behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989–2010. Our main findings are as follows. First, our evidence does not support the validity of the sticky information model (Mankiw and Reis, 2002) for describing the dynamics of professional growth forecasts. Instead, the empirical evidence is more in line with implications of "noisy" information models (Woodford, 2002; Sims, 2003). Second, we find that information rigidities are more pronounced in emerging economies than advanced economies. Third, there is evidence of nonlinearities in forecast smoothing. It is less pronounced in the tails of the distribution of individual forecast revisions than in the central part of the distribution.

Subject: Econometric analysis, Economic forecasting, Economic theory, Estimation techniques, Rational expectations

Keywords: ABB estimator, Data set, Economic, Estimation techniques, Expectations, Forecast, Forecast data, Horizon-indicator function, Information, Information rigidity, Rational expectations, Real-time data vintage, Rigidity coefficient, WP

Publication Details

Pages:

24
Volume:

---
DOI:

---
Issue:

---
Series:

Working Paper No. 2013/056
Stock No:

WPIEA2013056
ISBN:

9781475562958
ISSN:

1018-5941

FACTSHEETS

RESOURCES

TOPICS

Flagship Publications

Other Publications

IMF reports and publications by country

Regional Offices

All News

See Also

For Journalists

Press Center

RESOURCES

FLAGSHIPS

KEY SERIES

IMF NOTES

IMF Working Papers