Quantifying uncertainties in global growth forecasts

Franziska Ohnsorge, Marc Stocker and Modeste Y. Some

No 7770, Policy Research Working Paper Series from The World Bank

Abstract: This paper presents a procedure to construct an asymmetric fan chart of risks around global growth forecasts. The distribution of risks around global growth forecasts is estimated by weighting information extracted from option pricing and survey-based measures of risk factors of global growth. The weights are estimated using a vector autoregression analysis. The empirical estimates indicate that forecast uncertainty has increased since January 2016, while the balance of risks to global growth has tilted to the downside.

Keywords: Industrial Economics; Economic Theory&Research; Economic Growth; Fiscal&Monetary Policy; Consumption (search for similar items in EconPapers)
Date: 2016-07-26
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