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Incorporating Market Information into the Construction of the Fan Chart / Prakash Kannan, Selim Elekdag.
- Format:
- Book
- Government document
- Author/Creator:
- Kannan, Prakash.
- Series:
- IMF Working Papers; Working Paper ; No. 2009/178
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Economic forecasting--Econometric models.
- Economic forecasting.
- Time-series analysis.
- Physical Description:
- 1 online resource (23 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2009.
- Language Note:
- English
- Summary:
- This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the paper goes through the theoretical and practical considerations of this new approach. The resulting spreadsheet, which implements the approach, is available upon request from the authors.
- Contents:
- Contents; I. Introduction; II. Outline of Theory; A. Characterizing the Distribution of Global Growth; Box; 1. The Two-Piece Normal Distribution; B. Constructing Confidence Intervals; III. Using Survey- and Market-Based Information; Figures; 1. Constructing Confidence Intervals; A. Survey-based Measures; B. Market-based Measures; IV. An Example: Forecasting Global Growth; A. Choice of Risk Factors; Tables; 1. Estimated Elasticities and Skewness Coefficients; B. Estimating the Weighting Parameters .; C. Constructing the Fan Chart; D. Interpreting the Results
- 2. Dispersion of Forecasts for GDP and Selected Risk FactorsV. Conclusions; 3. Fan Chart for Global Growth and Skewness of Risk Factors; 4. Fan Chart for Global Growth Based on Direct Estimates of Variance and Skew; References
- Notes:
- "August 2009."
- Description based on print version record.
- ISBN:
- 9786612843891
- 9781462368884
- 1462368883
- 9781452748047
- 1452748047
- 9781282843899
- 1282843893
- 9781451873252
- 1451873255
- OCLC:
- 649426821
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