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Oya Celasun, Jungjin Lee, Mr. Mico Mrkaic, and Mr. Allan Timmermann
This paper examines the performance of World Economic Outlook (WEO) growth forecasts for 2004-17. Short-term real GDP growth forecasts over that period exhibit little bias, and their accuracy is broadly similar to those of Consensus Economics forecasts. By contrast, two- to five-year ahead WEO growth forecasts in 2004-17 tend to be upward biased, and in up to half of countries less accurate than a naïve forecast given by the average growth rate in the recent past. The analysis suggests that a more efficient use of available information on internal and external factors—such as the estimated output gap, projected terms of trade, and the growth forecasts of major trading partners—can improve the accuracy of some economies’ growth forecasts.
Metodij Hadzi-Vaskov, Mr. Luca A Ricci, Alejandro Mariano Werner, and Rene Zamarripa
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.
Oya Celasun, Jungjin Lee, Mr. Mico Mrkaic, and Mr. Allan Timmermann

inflation underpredicted in WEO forecasts. Efficiency relates to whether forecasts can be improved by a better use of available information; forecasts would be inefficient if the errors can be predicted using information available at the time of forecasting. We compare the accuracy and bias of the 2004–17 WEO forecasts against three benchmarks: WEO forecasts for 1990–2003, forecasts derived from simple time-series models, and forecasts published by Consensus Economics (CE henceforth). We also present some tests on the sources and efficiency of WEO growth forecast errors

Metodij Hadzi-Vaskov, Mr. Luca A Ricci, Alejandro Mariano Werner, and Rene Zamarripa

I. Introduction How do growth forecast perform over time and across countries? To shed some light on this question, this paper evaluates the overall performance of the IMF World Economic Outlook (WEO) growth forecast revisions across different time horizons and country groups. The WEO database is a key reference for macroeconomic forecasts. It provides comprehensive global coverage of projections for the short and medium term prepared by IMF staff and is published biannually in Spring and Fall. This set of forecasts, especially those for real GDP growth

Oya Celasun, Jungjin Lee, Mr. Mico Mrkaic, and Mr. Allan Timmermann

Executive Board, or IMF management. Abstract This paper examines the performance of World Economic Outlook (WEO) growth forecasts for 2004–17. Short-term real GDP growth forecasts over that period exhibit little bias, and their accuracy is broadly similar to those of Consensus Economics forecasts. By contrast, two- to five-year ahead WEO growth forecasts in 2004–17 tend to be upward biased, and in up to half of countries less accurate than a naïve forecast given by the average growth rate in the recent past. The analysis suggests that a more efficient use of available

Metodij Hadzi-Vaskov, Mr. Luca A Ricci, Alejandro Mariano Werner, and Rene Zamarripa

do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 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

Klaus-Peter Hellwig
I regress real GDP growth rates on the IMF’s growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimating the forces of mean reversion. I identify several such variables that explain forecasts well but are not predictors of actual growth. I show that, at long horizons, IMF forecasts are little better than a forecasting rule that uses no information other than the historical global sample average growth rate (i.e., a constant). Given the large noise component in forecasts, particularly at longer horizons, the paper calls into question the usefulness of judgment-based medium and long-run forecasts for policy analysis, including for debt sustainability assessments, and points to statistical methods to improve forecast accuracy by taking into account the risk of overfitting.
Klaus-Peter Hellwig

. In the following discussion, however, I focus only on those variables for which either the selection frequency is high in some regression or where there is a statistically significant inconsistency between the regressions of WEO forecasts and those of actual outcomes. The selection frequencies for all horizons are reported in Appendix C. Figure 10 Notes: Each point represents a predictor. The axes measure selection frequencies for each predictor in prediction models for GDP growth (horizontal axis) and WEO growth forecasts (vertical axis). Selection