Quantifying Uncertainties in Global Growth Forecasts

Ohnsorge, Franziska L. ; Stocker, Marc ; Some, Modeste Y.

World Bank, Washington, DC

关键词: uncertainty;    global growth;    fan chart;    option prices;    growth forecasts;   

DOI  :  10.1596/1813-9450-7770
RP-ID  :  WPS7770

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper presents a procedure toconstruct an asymmetric fan chart of risks around globalgrowth forecasts. The distribution of risks around globalgrowth forecasts is estimated by weighting informationextracted from option pricing and survey-based measures ofrisk factors of global growth. The weights are estimatedusing a vector autoregression analysis. The empiricalestimates indicate that forecast uncertainty has increasedsince January 2016, while the balance of risks to globalgrowth has tilted to the downside.