Quantifying Uncertainties in Global Growth Forecasts

• Tác giả: Marc Stocker
• Ngôn ngữ: eng
• Ký hiệu phân loại: 303.49 Social forecasts
• Thông tin xuất bản: World Bank, Washington, DC, 2016
• Bộ sưu tập: Tài liệu truy cập mở
• ID: 304549
• Chủ đề: 1. fan chart; 2. global growth; 3. growth forecasts; 4. option prices; 5. uncertainty

Tóm tắt

This paper presents a procedure to construct an asymmetric fan chart of risks around global growth forecasts. The distribution of risks around global growth forecasts is estimated by weighting information extracted from option pricing and survey-based measures of risk factors of global growth. The weights are estimated using a vector autoregression analysis. The empirical estimates indicate that forecast uncertainty has increased since January 2016, while the balance of risks to global growth has tilted to the downside.