IMF Working Papers

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

By Metodij Hadzi-Vaskov, Luca A Ricci, Alejandro Mariano Werner, Rene Zamarripa

May 7, 2021

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Metodij Hadzi-Vaskov, Luca A Ricci, Alejandro Mariano Werner, and Rene Zamarripa. Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons, (USA: International Monetary Fund, 2021) accessed November 7, 2024

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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.

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

Publication Details

  • Pages:

    57

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2021/136

  • Stock No:

    WPIEA2021136

  • ISBN:

    9781513573663

  • ISSN:

    1018-5941