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Is the Cycle the Trend? Evidence from the Views of International Forecasters.

Author: John C Bluedorn; Daniel Leigh
Publisher: Washington, D.C. : International Monetary Fund, 2018.
Series: IMF Working Papers; Working Paper, no. 18/163.
Edition/Format:   eBook : Document : English
Summary:
We revisit the conventional view that output fluctuates around a stable trend by analyzing professional long-term forecasts for 38 advanced and emerging market economies. If transitory deviations around a trend dominate output fluctuations, then forecasters should not change their long-term output level forecasts following an unexpected change in current period output. By contrast, an analysis of Consensus Economics  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Bluedorn, John C.
Is the Cycle the Trend? Evidence from the Views of International Forecasters.
Washington, D.C. : International Monetary Fund, ©2018
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: John C Bluedorn; Daniel Leigh
ISBN: 9781484369036 1484369033 1484363981 9781484363980
OCLC Number: 1048791168
Description: 1 online resource (30 pages)
Contents: Cover; Contents; I. INTRODUCTION; II. ESTIMATION AND RESULTS; A. Baseline results; B. Robustness; III. HOW CLOSELY DO FORECASTERS' VIEWS OF PERSISTENCE FIT THE DATA?; IV. EXTENSIONS; A. Proxies for demand and supply shocks; B. Permanent-transitory decomposition; C. Alternative source of forecasts; D. Persistence of other time series; V. CONCLUSION; References; Figures; 1. Long-term Output Forecast Revisions vs. Current-period Output Forecast Revisions; 2. Perceived Impulse Responses: Advanced vs. Emerging Markets; 3. Current-period Output Forecast Revisions vs. Subsequent Forecast Errors. 4. Perceived Impulse Responses for Output Level:5. GDP, Consumption and Investment Level: Perceived Impulse Responses; Tables; 1. Individual Country Estimates. Perceived Long-term Effect of a 1 Percentage Point Shock; 2. Robustness; 3. Forecast Evaluation; 4. Perceived Persistence of Output: Proxies for Demand and Supply Shocks; 5. Perceived Transitory and Permanent Shocks to GDP: Variance Decomposition; 6. Perceived Long-term Effect of a 1 Percentage Point Shock to Other Variables.
Series Title: IMF Working Papers; Working Paper, no. 18/163.

Abstract:

We revisit the conventional view that output fluctuates around a stable trend by analyzing professional long-term forecasts for 38 advanced and emerging market economies. If transitory deviations around a trend dominate output fluctuations, then forecasters should not change their long-term output level forecasts following an unexpected change in current period output. By contrast, an analysis of Consensus Economics forecasts since 1989 suggest that output forecasts are super-persistent-an unexpected 1 percent upward revision in current period output typically translates into a revision of ten year-ahead forecasted output by about 2 percent in both advanced and emerging markets. Drawing upon evidence from the behavior of forecast errors, the persistence of actual output is typically weaker than forecasters expect, but still consistent with output shocks normally having large and permanent level effects.

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