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...
Call Number: | Libro Electrónico |
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Main Authors: | , |
Corporate Author: | |
Format: | Electronic eBook |
Language: | Inglés |
Published: |
[Washington, D.C.] :
International Monetary Fund,
©2009.
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Series: | IMF working paper ;
WP/09/178. |
Subjects: | |
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