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

59 Pages Posted: 14 May 2021

See all articles by Metodij Hadzi-Vaskov

Metodij Hadzi-Vaskov

International Monetary Fund (IMF)

Luca A. Ricci

International Monetary Fund (IMF) - Research Department

Alejandro M. Werner

International Monetary Fund (IMF)

Rene Zamarripa

University of California, Irvine

Date Written: May 1, 2021

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.

JEL Classification: E17, E37, F47

Suggested Citation

Hadzi-Vaskov, Metodij and Ricci, Luca Antonio and Werner, Alejandro M. and Zamarripa, Rene, Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons (May 1, 2021). CEPR Discussion Paper No. DP16153, Available at SSRN: https://ssrn.com/abstract=3846288

Metodij Hadzi-Vaskov (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Luca Antonio Ricci

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-6007 (Phone)
202-623-4072 (Fax)

Alejandro M. Werner

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Rene Zamarripa

University of California, Irvine ( email )

P.O. Box 19556
Science Library Serials
Irvine, CA 62697-3125
United States

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