Incorporating market information into the construction of the fan chart /

This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the paper goes through the theoretical and practical considerations of this new appro...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Elekdag, Selim (Author), Kannan, Prakash (Author)
Corporate Author: International Monetary Fund. Research Department
Format: Electronic eBook
Language:Inglés
Published: [Washington, D.C.] : International Monetary Fund, ©2009.
Series:IMF working paper ; WP/09/178.
Subjects:
Economic forecasting > Econometric models.
Prévision économique > Modèles économétriques.
Economic forecasting > Econometric models
Online Access:Texto completo
Table of Contents:
  • I. Introduction; II. Outline of Theory; A. Characterizing the Distribution of Global Growth; Box; 1. The Two-Piece Normal Distribution; B. Constructing Confidence Intervals; III. Using Survey- and Market-Based Information; Figures; 1. Constructing Confidence Intervals; A. Survey-based Measures; B. Market-based Measures; IV. An Example: Forecasting Global Growth; A. Choice of Risk Factors; Tables; 1. Estimated Elasticities and Skewness Coefficients; B. Estimating the Weighting Parameters .; C. Constructing the Fan Chart; D. Interpreting the Results
  • 2. Dispersion of Forecasts for GDP and Selected Risk FactorsV. Conclusions; 3. Fan Chart for Global Growth and Skewness of Risk Factors; 4. Fan Chart for Global Growth Based on Direct Estimates of Variance and Skew; References

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