Quantifying Uncertainties in Global Growth Forecasts

24 Pages Posted: 28 Jul 2016

Date Written: July 26, 2016

Abstract

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.

Keywords: Industrial Economics, Economic Theory & Research, Economic Growth, Fiscal & Monetary Policy, Consumption

Suggested Citation

Ohnsorge, Franziska and Stocker, Marc and Some, Modeste Y., Quantifying Uncertainties in Global Growth Forecasts (July 26, 2016). World Bank Policy Research Working Paper No. 7770, Available at SSRN: https://ssrn.com/abstract=2814786

Franziska Ohnsorge (Contact Author)

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

Marc Stocker

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

Modeste Y. Some

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

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