Simple Macroeconomic Forecast Distributions for the G7 Economies- a Forecasting Project

We construct simple real-time forecast distributions for inflation and growth in the form of prediction intervals, using existing point forecasts issued by the International Monetary Fund (IMF) within the scope of the biannual World Economic Outlook (WEO) publication.

This repository contains our time-stamped forecasts, as well as historical and current WEO point forecasts. We publish our forecasts in accordance with the WEO publication schedule, that is, once in April and once in September/October.

Retrospective analysis and replication materials

All the code and replication material for our working paper can be found in the following GitHub repository. It also contains code to update and publish the real-time forecasts located here.

https://github.com/fredbec/uqimf

The working paper contains details on the methodology and describes application results of the retrospective analysis. It can be found on arXiv, please cite using the following:

Becker, Krüger, and Schienle. 2024 “Simple Macroeconomic Forecast Distributions for the G7 Economies” arXiv. https://doi.org/10.48550/arXiv.2408.08304.

@unpublished{Beckeretal_2024,
  title={Simple Macroeconomic Forecast Distributions for the G7 Economies},
  author={Becker, Friederike and Kr{\"u}ger, Fabian and Schienle, Melanie},
  note={Preprint, arXiv:2408.08304},
  year={2024}
}

Real-Time Publication

For more information on the time horizon of the project, the scope, and the evaluation of the real-time forecasts, please refer to our preregistration protocol, deposited on the OSF platform.

Becker, Krüger, and Schienle. 2024 “Simple Macroeconomic Forecast Distributions for the G7 Economies” Deposited 21 September 2024, Registry of the Open Science Foundation, https://osf.io/3b6hk.

@unpublished{Beckeretal_2024_prereg,
  title={Simple Macroeconomic Forecast Distributions for the G7 Economies},
  note={Deposited 21 September 2024, Registry of the Open Science Foundation, osf.io/3b6hk},
  publisher={OSF},
  author={Becker, Friederike and Krüger, Fabian and Schienle, Melanie},
  year={2024},
  month={Sep}
}

For a dashboard visualization of our forecasts distribution, visit our Shiny App

https://probability-forecasting.shinyapps.io/macropi/

Copyright and Usage

For more information on the IMF WEO forecasts, visit the corresponding website

Please note that this project is not affiliated with or endorsed by the International Monetary Fund. The data are used in accordance with current Copyright and Usage guidelines of the WEO publication.

Purpose

Forecasts by macroeconomic institutions are ubiquitous, but are frequently issued in a point forecast format only. Given that forecasts are statements about a future quantity and are thereby inherently uncertain, their transparent and comprehensive communication requires a quantification of said uncertainty. In this project, we address this issue by constructing prediction intervals by using one of the largest - both in terms of dissemination and scope - preexisting sources for macroeconomic predictions: the International Monetary Fund World Economic Outlook forecasts.

Forecast targets

• CPI inflation rate (in %)
• real GDP growth rate (in %)

Contents of this repository

The folders contain the following:

• forecasts: Contains csv files with forecasts in a standardized format. The name of the csv-file identifies the forecast origin. We construct central prediction intervals at the 50% and 80% levels based on the predictive quantiles contained in these files. Concretely, each file contains the following columns:
  • country: identifies the country using the ISO Alpha-3 code
  • target: identifies the target series. gdp growth for real GDP Growth, inflation for inflation
  • forecast year: the year the forecast is made. Uniquely identifies the forecast origin in conjunction with column forecast season
  • forecast season: the season the forecast is made, F for Fall and S for Spring. Uniquely identifies the forecast origin in conjunction with column forecast year
  • target year: the year the forecast is issued for.
  • quantile: the quantile level, one of 0.1, 0.25, 0.75 or 0.9. The 50% forecast interval is comprised of the 0.25 and 0.75 quantiles, the 80% forecast interval of the 0.1 and 0.9 quantiles.
  • prediction: prediction value for the forecast instance identified by all other preceding columns.
• imf-data: historical truth data and point forecasts, both from the corresponding IMF World Economic Outlook publication. The name of the csv-file identifies the forecast origin. The csv-files contain the following columns:
  • country: identifies the country using the ISO Alpha-3 code
  • target: identifies the target series. gdp growth for real GDP Growth, inflation for inflation
  • target year: the year the forecast is issued for.
  • prediction/true_value: prediction (point forecasts) or true value (historic values) for the instance identified by all other preceding columns.

References

• International Monetary Fund. 2023. World Economic Outlook Database: Washington, DC. October.