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Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel

Author

Listed:
  • Jonas Dovern
  • Mr. Ulrich Fritsche
  • Mr. Prakash Loungani
  • Ms. Natalia T. Tamirisa
Abstract
We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that the degree of information rigidity in average forecasts is substantially higher than that in individual forecasts. Individual level forecasts are updated quite frequently, a behavior more in line “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.

Suggested Citation

  • Jonas Dovern & Mr. Ulrich Fritsche & Mr. Prakash Loungani & Ms. Natalia T. Tamirisa, 2014. "Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel," IMF Working Papers 2014/031, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2014/031
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    References listed on IDEAS

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    More about this item

    Keywords

    WP; data set; Rational inattention; aggregation bias; growth forecasts; information rigidity; forecast behaviour; forecast data; real-time data vintage; OLS estimator; rigidity coefficient; smoothing parameter; standard deviation; forecast revision; density estimate; Rational expectations; Estimation techniques; Public expenditure review;
    All these keywords.

    JEL classification:

    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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