DP16153 Patterns in IMF Growth Forecast Revisions: A Panel Study at Multiple Horizons

Author(s): Metodij Hadzi-Vaskov, Luca Antonio Ricci, Alejandro Werner, Rene Zamarripa
Publication Date: May 2021
Keyword(s): Economic forecasts, Forecast Revisions, Growth forecasts, WEO
JEL(s): E17, E37, F47
Programme Areas: International Macroeconomics and Finance, Macroeconomics and Growth
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=16153

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.