Working Paper: CEPR ID: DP16153
Authors: Metodij Hadzivaskov; Luca Antonio Ricci; Alejandro Werner; Rene Zamarripa
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: Economic forecasts; Forecast revisions; Growth forecasts; WEO
JEL Codes: E17; E37; F47
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| forecast errors (C53) | growth revisions (O41) |
| growth revisions (O41) | forecast error gap (C53) |
| growth revisions (O41) | forecast errors (C53) |
| U.S. growth revisions (N12) | growth revisions in other economies (O57) |
| growth revisions (O41) | persistent short-term shocks (E32) |