IMF Working Papers

IMF Working Papers
Journal
Publisher:
International Monetary Fund
ISSN:
1018-5941
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. With nearly 300 released each year, working papers cover a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
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Information Rigidities in Economic Growth Forecasts : Evidence from a Large International Panel

Information Rigidities in Economic Growth Forecasts : Evidence from a Large International Panel
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Journal Issue
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Volume/Issue:
2013/56
Series:
IMF Working Papers
Author(s):
Jonas Dovern, Ulrich Fritsche, Prakash Loungani, and Natalia Tamirisa
Publisher:
INTERNATIONAL MONETARY FUND
Published Date:
February 2013
DOI:
http://dx.doi.org/10.5089/9781475562958.001
ISBN:
9781475562958
ISSN:
1018-5941
Page:
24
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.
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