Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons

Metodij Hadzi-Vaskov, Luca Ricci, Alejandro Mariano Werner and Rene Zamarripa

No 2021/136, IMF Working Papers from International Monetary Fund

Abstract: This paper investigates the performance of the IMF WEO growth forecast revisions across different horizons and country groups. We find that: (i) growth revisions in horizons closer to the actual are generally larger, more volatile, and more negative; (ii) on average, growth revisions are in the right direction, becoming progressively more responsive to the forecast error gap as horizons get closer to the actual year; (iii) growth revisions in systemic economies are relevant for growth revisions in all country groups; (iv) WEO and Consensus Forecast growth revisions are highly correlated; (v) fall-to-spring WEO revisions are more correlated with Consensus Forecasts revisions compared to spring-to-fall revisions; and (vi) across vintages, revisions for a given time horizon are not autocorrelated; within vintages, revisions tend to be positively correlated, suggesting perception of persistent short-term shocks.

Keywords: growth revision; consensus forecast growth revision; WEO growth forecast; consensus forecasts revision; fall-to-spring WEO revision; Technology transfer; Terms of trade; Time series analysis; Vector autoregression; Europe; Caribbean (search for similar items in EconPapers)
Pages: 57
Date: 2021-05-07
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Citations: View citations in EconPapers (2)

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Working Paper: Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons (2021)
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