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Information Rigidities in Economic Growth Forecasts: Evidence from a Large International Panel
Author:
Jonas Dovern null

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Mr. Ulrich Fritsche null

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Mr. Prakash Loungani
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Ms. Natalia T. Tamirisa
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Series:
IMF Working Papers
Volume/Issue:
Volume 2013: Issue 056
Language:
English
Publication Date:
27 Feb 2013
DOI:
https://doi.org/10.5089/9781475562958.001
ISBN:
9781475562958
ISSN:
1018-5941
Pages:
24
Keywords:
WP; data set; forecast; economic; information; expectations; information rigidity; real-time data vintage; horizon-indicator function; forecast data; rigidity coefficient; ABB estimator; Rational expectations; Estimation techniques
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund