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Information Rigidities in Economic Growth Forecasts

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Author Info

  • Jonas Dovern
  • Ulrich Fritsche
  • Prakash Loungani
  • Natalia T. Tamirisa

Abstract

We examine the behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989–2010. Our main findings are as follows. First, our evidence does not support the validity of the sticky information model (Mankiw and Reis, 2002) for describing the dynamics of professional growth forecasts. Instead, the empirical evidence is more in line with implications of "noisy" information models (Woodford, 2002; Sims, 2003). Second, we find that information rigidities are more pronounced in emerging economies than advanced economies. Third, there is evidence of nonlinearities in forecast smoothing. It is less pronounced in the tails of the distribution of individual forecast revisions than in the central part of the distribution.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 13/56.

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Length: 24
Date of creation: 27 Feb 2013
Date of revision:
Handle: RePEc:imf:imfwpa:13/56

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Related research

Keywords: Economic growth; Developed countries; Emerging markets; Economic forecasting; information; expectations; emerging economies; real gdp; gdp growth; growth rate; parameters; growth rates; business cycle; gdp growth rates;

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References

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  1. Roland Bénabou, 2013. "Groupthink: Collective Delusions in Organizations and Markets," Review of Economic Studies, Oxford University Press, vol. 80(2), pages 429-462.
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  6. Jonas Dovern & Ulrich Fritsche & Jiri Slacalek, 2012. "Disagreement Among Forecasters in G7 Countries," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1081-1096, November.
  7. Jonas Dovern & Joerg Doepke & Ulrich Fritsche & Jirka Slacalek, 2006. "Sticky Information Phillips Curves: European Evidence," Macroeconomics and Finance Series, Hamburg University, Department Wirtschaft und Politik 200604, Hamburg University, Department Wirtschaft und Politik.
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Cited by:
  1. Dovern, Jonas, 2013. "When are GDP forecasts updated? Evidence from a large international panel," Economics Letters, Elsevier, Elsevier, vol. 120(3), pages 521-524.

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