Incorporating Market Information into the Construction of the Fan Chart.
Title:
Incorporating Market Information into the Construction of the Fan Chart.
Author:
Kannan, Prakash.
ISBN:
9781451917512
Personal Author:
Physical Description:
1 online resource (23 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. Outline of Theory -- A. Characterizing the Distribution of Global Growth -- B. Constructing Confidence Intervals -- III. Using Survey- and Market-Based Information -- A. Survey-based Measures -- B. Market-based Measures -- IV. An Example: Forecasting Global Growth -- A. Choice of Risk Factors -- B. Estimating the Weighting Parameters . -- C. Constructing the Fan Chart -- D. Interpreting the Results -- V. Conclusions -- References -- Box -- 1. The Two-Piece Normal Distribution -- Tables -- 1. Estimated Elasticities and Skewness Coefficients -- Figures -- 1. Constructing Confidence Intervals -- 2. Dispersion of Forecasts for GDP and Selected Risk Factors -- 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.
Abstract:
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 approach. The resulting spreadsheet, which implements the approach, is available upon request from the authors.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Added Author:
Electronic Access:
Click to View