IMF Working Papers Volume 2014 Issue 031: Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel (2014)

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Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel

Author:

Jonas Dovern

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Mr. Ulrich Fritsche

Mr. Ulrich Fritsche null

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Mr. Prakash Loungani

Mr. Prakash Loungani
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Ms. Natalia T. Tamirisa

Ms. Natalia T. Tamirisa
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Series:: IMF Working Papers

Volume/Issue:: Volume 2014: Issue 031

Language:: English

Publication Date:: 12 Feb 2014

DOI:: https://doi.org/10.5089/9781484305201.001

ISBN:: 9781484305201

ISSN:: 1018-5941

Pages:: 24

Keywords:: WP; data set; Rational inattention; aggregation bias; growth forecasts; information rigidity; forecast behaviour; forecast data; real-time data vintage; OLS estimator; rigidity coefficient; smoothing parameter; standard deviation; forecast revision; density estimate; Rational expectations; Estimation techniques; Public expenditure review

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.

Series:: IMF Working Papers

Volume/Issue:: Volume 2014: Issue 031

Language:: English

Publication Date:: 12 Feb 2014

DOI:: https://doi.org/10.5089/9781484305201.001

ISBN:: 9781484305201

ISSN:: 1018-5941

Pages:: 24

Keywords:: WP; data set; Rational inattention; aggregation bias; growth forecasts; information rigidity; forecast behaviour; forecast data; real-time data vintage; OLS estimator; rigidity coefficient; smoothing parameter; standard deviation; forecast revision; density estimate; Rational expectations; Estimation techniques; Public expenditure review

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 study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that the degree of information rigidity in average forecasts is substantially higher than that in individual forecasts. Individual level forecasts are updated quite frequently, a behavior more in line “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.

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IMF Working Papers

ISSN:: 1018-5941

Publisher:: International Monetary Fund

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