Quantifying Uncertainties in Global Growth Forecasts
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-ba...
| Main Authors: | , , |
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| Format: | Working Paper |
| Language: | English en_US |
| Published: |
World Bank, Washington, DC
2016
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| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/2016/07/26601446/quantifying-uncertainties-global-growth-forecasts http://hdl.handle.net/10986/24851 |
| Summary: | 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. |
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