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

Jonas Dovern, Ulrich Fritsche, Prakash Loungani and Natalia Tamirisa

No 2014/031, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 24
Date: 2014-02-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=41350 (application/pdf)

Related works:
Journal Article: Information rigidities: Comparing average and individual forecasts for a large international panel (2015)
Working Paper: INFORMATION RIGIDITIES: COMPARING AVERAGE AND INDIVIDUAL FORECASTS FOR A LARGE INTERNATIONAL PANEL (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2014/031

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().