Quantifying Uncertainties in Global Growth Forecasts

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...

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Bibliographic Details
Main Authors: Ohnsorge, Franziska L., Stocker, Marc, Some, Modeste Y.
Format: Working Paper
Language:English
en_US
Published: World Bank, Washington, DC 2016
Subjects:
uncertainty
global growth
fan chart
option prices
growth forecasts
risk factors
vector autoregression
Online Access:http://documents.worldbank.org/curated/en/2016/07/26601446/quantifying-uncertainties-global-growth-forecasts
http://hdl.handle.net/10986/24851
id okr-10986-24851
recordtype oai_dc
spelling okr-10986-248512021-04-23T14:04:27Z Quantifying Uncertainties in Global Growth Forecasts Ohnsorge, Franziska L. Stocker, Marc Some, Modeste Y. uncertainty global growth fan chart option prices growth forecasts risk factors vector autoregression 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. 2016-08-09T21:44:56Z 2016-08-09T21:44:56Z 2016-07 Working Paper http://documents.worldbank.org/curated/en/2016/07/26601446/quantifying-uncertainties-global-growth-forecasts http://hdl.handle.net/10986/24851 English en_US Policy Research Working Paper;No. 7770 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper
repository_type Digital Repository
institution_category Foreign Institution
institution Digital Repositories
building World Bank Open Knowledge Repository
collection World Bank
language English
en_US
topic uncertainty
global growth
fan chart
option prices
growth forecasts
risk factors
vector autoregression
spellingShingle uncertainty
global growth
fan chart
option prices
growth forecasts
risk factors
vector autoregression
Ohnsorge, Franziska L.
Stocker, Marc
Some, Modeste Y.
Quantifying Uncertainties in Global Growth Forecasts
relation Policy Research Working Paper;No. 7770
description 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.
format Working Paper
author Ohnsorge, Franziska L.
Stocker, Marc
Some, Modeste Y.
author_facet Ohnsorge, Franziska L.
Stocker, Marc
Some, Modeste Y.
author_sort Ohnsorge, Franziska L.
title Quantifying Uncertainties in Global Growth Forecasts
title_short Quantifying Uncertainties in Global Growth Forecasts
title_full Quantifying Uncertainties in Global Growth Forecasts
title_fullStr Quantifying Uncertainties in Global Growth Forecasts
title_full_unstemmed Quantifying Uncertainties in Global Growth Forecasts
title_sort quantifying uncertainties in global growth forecasts
publisher World Bank, Washington, DC
publishDate 2016
url http://documents.worldbank.org/curated/en/2016/07/26601446/quantifying-uncertainties-global-growth-forecasts
http://hdl.handle.net/10986/24851
_version_ 1764457820824010752

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