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Forecasts in Times of Crises

Author: Theo S Eicher; Charis Christofides; David J Kuenzel; Chris Papageorgiou
Publisher: Washington, D.C. : International Monetary Fund, 2018.
Series: IMF Working Papers; Working Paper, no. 18/48.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in times of crises. We examine 29 macroeconomic variables in terms of bias, efficiency, and information content to find that IMF forecasts add substantial informational value as they consistently outperform  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print Version:
Eicher, Theo S.
Forecasts in Times of Crises.
Washington, D.C. : International Monetary Fund,2018
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Theo S Eicher; Charis Christofides; David J Kuenzel; Chris Papageorgiou
ISBN: 1484345436 9781484345436
OCLC Number: 1043655103
Description: 1 online resource (33 pages).
Contents: Cover; Contents; 1 Introduction; 2 Macroeconomic Identities; 3 Methodology: Evaluating IMF Forecasts; 4 The Monitoring of Fund Arrangements (MONA) Dataset; 5 IMF Forecast Errors: Decomposition and Determinants; 5.1 GDP Growth Forecasts; 5.1.1 Efficiency and Unbiasedness; 5.1.2 Informational Value; 5.1.3 Forecast Error Contributions; 5.2 Balance of Payments Growth Forecasts; 5.2.1 Efficiency and Unbiasedness; 5.2.2 Informational Value; 5.2.3 Forecast Error Contributions; 5.3 Government Revenue and Expenditure Growth Forecasts; 5.3.1 Efficiency and Unbiasedness; 5.3.2 Informational Value. 5.3.3 Forecast Error Contributions6 Concluding Remarks; References; Appendix; List of Figures; 1 Forecasts versus Actual Changes; List of Tables; 1 Mincer-Zarnowitz Regressions --
GDP Growth; 2 Correct and Incorrect Forecasts of GDP and Its Subcomponent Growth Rates; 3 Contributors to GDP Growth Forecast Errors; 4a Mincer-Zarnowitz Regressions --
Current Account Balance Growth; 4b Mincer-Zarnowitz Regressions --
Financial Account Balance Growth; 5a Correct and Incorrect Forecasts of Current Account and Its Subcomponent Growth Rates. 5b Correct and Incorrect Forecasts of Financial Account and Its Subcomponent Growth Rates6 Contributors to Balance of Payments Forecast Errors; 7a Mincer-Zarnowitz Regressions --
Government Expenditure Growth; 7b Mincer-Zarnowitz Regressions --
Government Revenue Growth; 8a Correct and Incorrect Forecasts of Gov. Expenditure and Its Subcomponent Growth Rates; 8b Correct and Incorrect Forecasts of Gov. Revenue and Its Subcomponent Growth Rates; 9 Contributors to Government Budget Growth Forecast Errors; A1 Programs in Broadest Global Sample.
Series Title: IMF Working Papers; Working Paper, no. 18/48.
Responsibility: Theo S Eicher.

Abstract:

Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in times of crises. We examine 29 macroeconomic variables in terms of bias, efficiency, and information content to find that IMF forecasts add substantial informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of nominal GDP, public investment, private investment, the current account, net transfers, and government expenditures) exhibit significant forecast bias. Forecasts for low-income countries are the main drivers of forecast bias and inefficiency, reflecting perhaps larger shocks and lower data quality. When we decompose the forecast errors into their sources, we find that forecast errors for private consumption growth are the key contributor to GDP growth forecast errors. Similarly, forecast errors for non-interest expenditure growth and tax revenue growth are crucial determinants of the forecast errors in the growth of fiscal budgets. Forecast errors for balance of payments growth are significantly influenced by forecast errors in goods import growth. The results highlight which macroeconomic aggregates require further attention in future forecast models for countries in crises.

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