Information Rigidities in Economic Growth Forecasts: Evidence from a Large International Panel

Jonas Dovern, Ulrich Fritsche, Prakash Loungani and Natalia Tamirisa

No 2013/056, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 24
Date: 2013-02-27
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Citations: View citations in EconPapers (5)

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Working Paper: Information Rigidities in Economic Growth Forecasts: Evidence from a Large International Panel (2013)
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