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

Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons
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Volume/Issue: Volume 2021 Issue 136
Publication date: May 2021
ISBN: 9781513573663
$18.00
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Topics covered in this book

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Exports and Imports , Economics- Macroeconomics , Economics / General , International - Economics , growth revision , consensus forecast growth revision , WEO growth forecast , consensus forecasts revision , fall-to-spring WEO revision , Technology transfer , Terms of trade , Time series analysis , Vector autoregression , Europe , Caribbean

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.