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Information Rigidity in Growth Forecasts : Some Cross-Country Evidence / Natalia Tamirisa, Prakash Loungani, Herman Stekler.
- Format:
- Book
- Government document
- Author/Creator:
- Tamirisa, Natalia.
- Series:
- IMF Working Papers; Working Paper ; No. 2011/125
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Economic forecasting--Econometric models.
- Economic forecasting.
- Economic development--Econometric models.
- Economic development.
- Financial crises--Econometric models.
- Financial crises.
- Physical Description:
- 1 online resource (44 p.)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2011.
- Language Note:
- English
- Summary:
- We document information rigidity in forecasts for real GDP growth in 46 countries over the past two decades. We investigate: (i) if rigidities are lower around turning points in the economy, such as in times of recessions and crises; (ii) if rigidities differ across countries, particularly between advanced countries and emerging markets; and (iii) how quickly forecasters incorporate news about growth in other countries into their growth forecasts, with a focus on how advanced countries‘ growth forecasts incorporate news about emerging market growth and vice versa.
- Contents:
- Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Data on Consensus Forecasts; 1. Descriptive Statistics; 2. Absolute Forecast Errors; III. Two Tests of Information Rigidity; 3. Informational Rigidities: Tests Based on Forecast Errors (6-month horizon); 4. Informational Rigidities: Tests Based on Forecast Errors (3-month horizon); IV. Information Rigidity in Recessions and Crises; A. Descriptive Evidence; 1. Distributions of Actual and Forecasted Real GDP Growth, 1889-2008; 2. Actual and Forecasted Real GDP Growth during Recessions
- 3. Actual and Forecasted Real GDP Growth during Banking CrisesB. Statistical Tests; 5. Informational Rigidities in Forecast Revisions; 6. Informational Rigidities during Recessions; 7. Informational Rigidities during Banking Crises; V. Cross-Country Linkages in Forecast Revisions; A. Statistical Framework; B. Evidence; 8. Variance Decompositions; 4. Generalized Impulse Responses of Forecast Revisions (Own-country responses; in percentage points); 5. Generalized Impulse Responses of Forecast Revisions (Response to Chinese Revisions; in Percentage Points); 6. Speed of Absorption of News
- VI. ConclusionsI Description of Sample; Table 1: List of Countries, Recessions and Crisis Episodes; II Frequency of Data; III Generalized Impulse Responses of Forecast Revisions; Figure1A. Generalized Impulse Responses of U.S. Forecast Revisions (In Percentage Points); Figure1B. Generalized Impulse Responses of Germany's Forecast Revisions (In Percentage Points); Figure1C. Generalized Impulse Responses of Japan's Forecast Revisions (In Percentage Points); Figure1D. Generalized Impulse Responses of Brazil's Forecast Revisions (In Percentage Points)
- Figure1E. Generalized Impulse Responses of China's Forecast Revisions (In Percentage Points)Figure1F. Generalized Impulse Responses of India's Forecast Revisions (In Percentage Points); Figure1G. Generalized Impulse Responses of Russia's Forecast Revisions (In Percentage Points); References; Footnotes
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- Description based on online resource; title from PDF title page (ebrary, viewed September 24, 2014).
- ISBN:
- 9786613880949
- 9781462359677
- 1462359671
- 9781462332434
- 1462332439
- 9781283568494
- 1283568497
- 9781462357659
- 1462357652
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