Some cross-country evidence on information rigidity in inflation forecasts

Figures & data

Table

Study and Period	Objective	Findings	Data Source
Loungani et al. (2013); 10/1989–12/2008	Information rigidity of average forecast of GDP of 15 developed and 31 developing economies.	Information rigidity exists across both the developed and the developing country panels. Forecasters update for their forecasts to reflect new information in 4–6 months. Acquisition of information speeds up during recessions.	Consensus Economics
Dovern et al. (2015); 1989 – 2011	Information rigidity in average and individual forecasts in real GDP growth rates across 14 developed and 22 developing countries.	Information rigidity exists in both average and individual forecasts. Rigidity is higher in average forecast than in individual forecasts. There is no systematic difference in rigidity between developed and developing countries.	Consensus Economics
Coibion and Gorodnichenko (2012); various	Information rigidities in inflation and unemployment after various kinds of shocks by panels of forecasters, datasets, etc.	Information rigidity exists in inflation and unemployment forecast and it vary across all panels of forecasters and datasets. Information is fully updated every 6 to 7 months.	SPF, MSC, BCEI
Coibion and Gorodnichenko (2015); various	Information rigidity across macroeconomic variables including inflation, by panels of forecasters, countries, etc.	Information rigidities exist across all macroeconomic variables. Extent of rigidity vary by panels of forecasters, countries, and datasets.	SPF, MSC, Consensus Forecast, Livingston,

Table 1. Descriptive statistics of forecast errors

	All countries (AC)		Developed countries (DDC)		Developing countries (DGC)
	Forecast errors	Absolute forecast errors	Forecast errors	Absolute forecast errors	Forecast errors	Absolute forecast errors
Unconditional
Number of observations	16,250	16,250	9,625	9,625	6,625	6,625
Mean	0.112	1.081	−0.110	0.657	0.435	1.696
Standard Deviation	2.386	2.130	0.958	0.706	3.528	3.124
Recessions Jan. 2007 to Dec. 2012
Number of observations	5,874	5,874	3,475	3,475	2,399	2,399
Mean	0.257	1.139	0.116	0.817	0.461	1.605
Standard Deviation	1.751	1.355	1.174	0.851	2.333	1.755

Table 2. Absolute forecast error, |(A_t – F_t,h)| = a + b₁(recession dummy) + b₂(horizon)

	All countries (AC)		Developed countries (DDC)		Developing countries (DGC)
	Coefficients	Standard errors	Coefficients	Standard errors	Coefficients	Standard errors
Recessions	0.088***	0.034	0.247***	0.014	−0.145*	0.079
Horizon	0.042***	0.002	0.035***	0.001	0.053***	0.006
Constant	0.541***	0.036	0.148***	0.015	1.108***	0.083
Number of observations	16,250		9,625		6,625
R-Squared	0.018		0.140		0.014

Notes: *, **, and *** denote significance at the 10%, 5%, and 1% level respectively

Table 3. Information rigidity: Tests based on forecast error, 6M revision A_t – F_t,h = a₀ + a₁R_t,h+k + e_t,h

Dependent Variable	Actual-Sep.py (15M)		Actual-Dec.py (12M)		Actual- Mar.cy (9M)		Actual-Jun.cy (6M)		Actual-Sep.cy (3M)		Actual- Dec.cy (0M)
Revision (lag 1)	Sep.py- Mar.py (6M)		Dec.py- Jun.py (6M)		Mar.cy- Sep.py (6M)		Jun.cy- Dec.py (6M)		Sep.cy- Mar.cy (6M)		Dec. cy- Jun.cy (6M)
All countries	Fixed Effect		Fixed Effect		Fixed Effect		Fixed Effect		Random Effect		Fixed Effect
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.482	0.518	−0.057	0.341	0.584**	0.229	0.061***	0.015	−0.139**	0.065	−0.030	0.017
Constant	0.247*	0.143	0.397	0.242	0.237**	0.096	0.100	0.117	0.072	0.117	−0.049	0.106
Observations	685		685		685		685		685		685
R-Squared	0.057		0.001		0.173		0.072		0.045		0.051
Hausman Test $\chi 2$	42.85(0.000)		9.48(0.002)		7.97(0.004)		5.52(0.020)		0.007(0.933)		75.12(0.000)
Developed countries	Random Effect		Random Effect		Random Effect		Fixed Effect		Random Effect		Random Effect
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.001	0.316	−0.189	0.415	0.291**	0.126	0.175**	0.076	0.199***	0.069	−0.057**	0.056
Constant	−0.130**	0.189	0.002	0.228	−0.056	0.166	−0.088	0.115	−0.050	0.078	−0.057***	0.040
Observations	400		400		400		400		400		400
R-Squared	1.2E–07		0.012		0.034		0.035		0.053		0.012
Hausman Test $\chi 2$	1.389(0.238)		0.195(0.658)		0.715(397)		2.96(0.085)		0.004(0.952)		1.348(0.245)
Developing countries	Fixed Effect		Fixed Effect		Fixed Effect		Random Effect		Random Effect		Fixed Effect
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.495	0.526	−0.050	0.354	0.599**	0.242	0.065***	0.009	−0.155**	0.067	−0.030*	0.017
Constant	0.829**	0.383	0.905	0.543	0.626**	0.234	0.339	0.226	0.258	0.198	−0.041	0.221
Observations	285		285		285		285		285		285
R-Squared	0.066		0.001		0.185		0.090		0.058		0.052
Hausman Test $\chi 2$	15.695(0.000)		3.594(0.058)		4.731(0.029)		1.451(0.228)		0.239(0.625)		33.32(0.000)

Notes: “cy” refers to current year. “py” refers to previous year. *, **, and *** denote significance at the 10%, 5%, and 1% level, respectively. P-values are computed for the Hausman Test reported in “()”. Estimation using robust coefficient covariance by Driscoll and Kraay (1998).

Table 4. Information rigidity: Tests based on forecast error, 3M revision A_t– F_t,h = a₀ + a₁ R_t,h+k + e_t,h

Dependent Variable	Actual-Sep.py (15M)		Actual-Dec.py (12M)		Actual- Mar.cy (9M)		Actual-June.cy (6M)		Actual-Sep.cy (3M)		Actual- Dec.cy (0M)
Revision (lag 1)	Sep.py- Jun.py (3M)		Dec.py- Sep.py (3M)		Mar.cy- Dec.py (3M)		Jun.cy- Mar.cy (3M)		Sep.cy- June.cy (3M)		Dec.cy- Sep.cy (3M)
All countries	Fixed Effect		Random Effect		Random Effect		Fixed Effect		Random Effect		Fixed Effect
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.422	0.682	0.194	0.471	0.255	0.193	0.037***	0.007	−0.302**	0.123	−0.061	0.038
Constant	0.186	0.161	0.454**	0.194	0.170	0.141	0.116	0.117	0.070	0.108	−0.055	0.120
Observations	685		685		685		686		685		686
R-Squared	0.028		0.010		0.023		0.055		0.073		0.154
Hausman Test $\chi 2$	26.163(0.000)		0.067(0.796)		0.105(0.746)		6.604(0.010)		1.338(0.247)		74.807(0.000)
Developed countries	Random Effect		Random Effect		Random Effect		Random Effect		Random Effect		Fixed Effect
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	0.078	0.199	−0.326	0.508	0.013	0.153	0.477***	0.121	0.086	0.095	−0.119	0.093
Constant	−0.124	0.190	−0.009	0.223	−0.075	0.176	−0.065	0.103	−0.052	0.089	−0.058	0.041
Observations	400		400		400		400		400		400
R-Squared	0.001		0.027		8.7E–05		0.083		0.004		0.034
Hausman Test $\chi 2$	0.045(0.832)		0.184(0.667)		1.335(0.248)		0.646(0.421)		0.541(0.462)		8.691(0.003)
Developing countries	Fixed Effect		Random Effect		Random Effect		Random Effect		Random Effect		Fixed Effect
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.437	0.641	0.234	0.472	0.268	0.202	0.040***	0.003	−0.325**	0.126	−0.061	0.037
Constant	0.675	0.442	0.983*	0.498	0.547*	0.310	0.367**	0.234	0.253	0.198	−0.054	0.232
Observations	285		285		285		286		285		286
R-Squared	0.031		0.014		0.025		0.072		0.086		0.062
Hausman Test $\chi 2$	9.253(0.002)		0.001(0.975)		0.291(0.589)		1.950(0.163)		1.284(0.257)		33.892(0.000)

Notes: “cy” refers to current year. “py” refers to previous year. *, **, and *** denote significance at the 10%, 5%, and 1% level, respectively. P-values are computed for the Hausman Test reported in “()”. Estimation using robust coefficient covariance by Driscoll and Kraay (1998).

Table 5. Information rigidity: Tests based on forecast revision R_t,h = b₀+ b₁R_t,h+k+ e_t,h

Dependent Variable	Sep.cy- Mar.cy (6M)		Dec.cy- Sep.cy (3M)		Dec.cy- Sep.cy (3M)		Dec.cy- Jun.cy (6M)
Revision (lag 1)	Mar.cy- Sep.py (6M)		Sep.cy- Jun.cy (3M)		Sep.cy- Jun.cy (3M)		Jun.cy – Dec.py (6M)
Revision (lag 2)	Sep.py- Mar.py (6M)		Jun.cy- Mar.cy (3M)
All countries	Fixed Effect		Fixed Effect		Random Effect		Fixed Effect
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	0.198	0.155	−0.112	0.222	−0.155	0.216	0.273***	0.066
Revision (lag 2)	−0.134	0.105	0.226*	0.127	-		-
Constant	0.118***	0.028	−0.126**	0.167	−0.120**	0.169	−0.167**	0.210
Number of observations	684		727		727		684
R-Squared	0.108		0.039		0.017		0.078
Hausman Test $\chi 2$	52.315(0.000)		19.762(0.000)		1.254(0.262)		10.361(0.001)
Developed	Random Effect		Random Effect		Random Effect		Random Effect
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	0.248***	0.064	−0.036	0.082	−0.014	0.088	0.085*	0.055
Revision (lag 2)	0.079	0.162	0.209***	0.042	-		-
Constant	0.000	0.074	−0.020	0.096	−0.020	0.102	−0.057*	0.123
Number of observations	400		425		425		400
R-Squared	0.053		0.027		0.001		0.009
Hausman Test $\chi 2$	4.147(0.127)		1.019(0.605)		1.08(0.317)		0.094(0.758)
Developing	Fixed Effect		Fixed Effect		Random Effect		Fixed Effect
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	0.192	0.169	−0.117	0.241	−0.156	0.229	0.289***	0.070
Revision (lag 2)	−0.142	0.114	0.226	0.137	-		-
Constant	0.312**	0.100	−0.274	0.269	−0.261	0.270	−0.298*	0.334
Number of observations	284		302		302		248
R-Squared	0.159		0.041		0.017		0.087
Hausman Test $\chi 2$	21.456(0.000)		7.949(0.018)		0.136(0.712)		4.053(0.044)

Notes: “cy” refers to current year. “py” refers to previous year. *, **, and *** denote significance at the 10%, 5%, and 1% level, respectively. P-values are computed for the Hausman Test reported in “()”. Estimation using robust coefficient covariance by Driscoll and Kraay (1998).

Table 6. Information rigidity during recession period (Jan. 2007 to Dec. 2012) R_t,h = b₀ + b₁ R_t,h+k+ e_t,h

Dependent Variable	Dec.cy- Sep.cy(3M)		Dec.cy- Sep.cy(3M)		Dec.cy- Sep.cy(3M)		Dec.cy- Jun.cy(6M)		Dec.cy- Jun.cy(6M)		Dec.cy- Jun.cy(6M)
Revision (lag 1)	Sep.cy- Jun.cy(3M)		Sep.cy- Jun.cy(3M)		Sep.cy- Jun.cy(3M)		June.cy—Dec.py(6M)		June.cy—Dec.py(6M)		June.cy—Dec.py(6M)
All countries	Random Effect		Random Effect (PCSE)		Random Effect (DK)		Random Effect		Random Effect (PCSE)		Random Effect (DK)
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.055	0.072	−0.055	0.114	−0.055	0.032	0.182*	0.073	0.182	0.120	0.182**	0.060
Constant	0.101	0.067	0.101	0.064	0.101	0.144	0.046	0.088	0.046	0.090	0.046	0.178
Number of observations	258		258		258		258		258		258
R-Squared	0.002		0.002		0.002		0.025		0.025		0.025
Hausman Test $\chi 2$	0.437(0.508)		0.437(0.508)		0.437(0.508)		2.295(0.129)		2.295(0.129)		2.295(0.129)
Developed countries	Random Effect		Random Effect (PCSE)		Random Effect (DK)		Random Effect		Random Effect (PCSE)		Random Effect (Driscoll and Kraay)
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.038	0.077	−0.038	0.071	−0.038	0.061	0.180**	0.077	0.180**	0.084	0.180***	0.021
Constant	0.128**	0.040	0.128***	0.039	0.128***	0.078	0.115*	0.060	0.115*	0.062	0.115*	0.089
Number of observations	150		150		150		150		150		150
R-Squared	0.002		0.002		0.002		0.036		0.036		0.036
Hausman Test $\chi 2$	0.015(0.903)		0.015(0.903)		0.015(0.903)		0.105(0.746)		0.105(0.746)		0.105(0.746)
Developing countries	Random Effect		Random Effect (PCSE)		Random Effect (DK)		Random Effect		Random Effect (PCSE)		Random Effect (Driscoll and Kraay)
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.060	0.111	−0.060	0.140	−0.060	0.036	0.187*	0.116	0.187	0.153	0.187**	0.066
Constant	0.064	0.144	0.064	0.144	0.064	0.240	−0.052	0.188	−0.052	0.194	−0.052	0.333
Number of observations	108		108		108		108		108		108
R-Squared	0.003		0.003		0.003		0.024		0.024		0.024
Hausman Test $\chi 2$			0.335(0.563)		0.335(0.563)				1.236(0.266)		1.236(0.266)

Notes: “cy” refers to current year. “py” refers to previous year. *, **, and *** denote significance at the 10%, 5%, and 1% level, respectively. P-values are computed for the Hausman Test reported in “()”.

Table 7. Information rigidity during recession using recession period as dummy R_t,h = b₀ + b₁ R_t,h+k+ b₂D + b₃D*R_t,h+k + e_t,h

Dependent Variable	Dec.cy- Sep.cy (3M)						Dec.cy- Jun.cy (6M)
Revision (lag 1)	Dec.cy- Sep.cy (3M)						Jun.cy—Dec.py (6M)
All countries	Fixed Effect		Fixed Effect (PCSE)		Fixed Effect (DK)		Fixed Effect		Fixed Effect (PCSE)		Fixed Effect (DK)
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.167***	0.051	−0.167	0.126	−0.167	0.262	0.292***	0.040	0.292**	0.136	0.292***	0.073
Dummy for recessions	0.337***	0.126	0.337***	0.126	0.337	0.237	0.331**	0.152	0.331**	0.169	0.331	0.332
Revision (lag 1)* Dummy for recessions	0.185	0.126	0.185	0.324	0.185	0.332	−0.155	0.112	−0.155	0.275	−0.155	0.110
Constant	−0.238***	0.075	−0.238***	0.076	−0.238	0.207	−0.281***	0.092	−0.281***	0.095	−0.281	0.292
Number of observations	727		727		727		684		684		684
R-Squared	0.060		0.060		0.027		0.107		0.107		0.107
Hausman Test χ2	8.29(0.040)						19.167(0.000)
$\chi 2$ for Wald tests Revision (lag 1) * Dummy for recessions	8.78 (0.003)		2.13 (0.143)		0.94 (0.347)		1.05 (0.304)		0.502 (0.478)		0.240 (0.632)
Developed countries	Random Effect		Random Effect (PCSE)		Random Effect (DK)		Random Effect		Random Effect (PCSE)		Random Effect (DK)
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.013	0.088	−0.013	0.096	−0.013	0.147	−0.002	0.057	−0.002	0.062	−0.002	0.041
Dummy for recessions	0.228***	0.054	0.228***	0.053	0.228	0.150	0.281	0.071	0.281	0.070	0.281*	0.170
Revision (lag 1)* Dummy for recessions	−0.025	0.121	−0.025	0.125	−0.025	0.152	0.182	0.095	0.182	0.100	0.182***	0.044
Constant	−0.100***	0.032	−0.100***	0.031	−0.100	0.129	−0.167	0.042	−0.167	0.042	−0.167	0.154
Number of observations	425		425		425		400		400		400
R-Squared	0.042		0.042		0.042		0.066		0.066		0.066
Hausman Test $\chi 2$	3.285(0.349)						0.000(1.000)
$\chi 2$ for Wald tests Revision (lag 1) * Dummy for recessions	2.35 (0.125)		2.35 (0.125)		2.22 (0.156)		19.12 (0.000)		18.60 (0.000)		5.27 (0.034)
Developing countries	Random Effect		Random Effect (PCSE)		Random Effect (DK)		Fixed Effect		Fixed Effect (PCSE)		Fixed Effect (DK)
	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error	Coeff.	St. Error
Revision (lag 1)	−0.160**	0.075	−0.160	0.121	−0.160	0.262	0.310***	0.061	0.310**	0.145	0.310***	0.075
Dummy for recessions	0.502*	0.295	0.502*	0.293	0.502	0.395	0.374	0.352	0.374	0.377	0.374	0.560
Revision (lag 1)* Dummy for recessions	0.099	0.197	0.099	0.359	0.099	0.261	−0.187	0.189	−0.187	0.344	−0.187	0.124
Constant	−0.438**	0.178	−0.438**	0.173	−0.438	0.336	−0.425**	0.215	−0.425**	0.221	−0.425	0.475
Number of observations	302		302		302		284		284		284
R-Squared	0.028		0.028		0.028		0.112		0.112		0.112
Hausman Test $\chi 2$	4.543(0.208)						7.994(0.046)
$\chi 2$ for Wald tests Revision (lag 1) * Dummy for recessions	2.87 (0.089)		1.475 (0.224)		0.970 (0.341)		0.259 (0.610)		0.225 (0.634)		0.110 (0.747)

Notes: “cy” refers to current year. “py” refers to previous year. *, **, and *** denote significance at the 10%, 5%, and 1% level, respectively. P-values are computed for the Hausman Test reported in “()”.

Table 8. Absorption of domestic and foreign news: VAR approach

Equation	Coefficients and standard errors
	USA	Japan		Germany		France		UK		Russia	China	India	South Korea	Brazil
Lag 1 of revisions
USA	−0.366***	0.017		0.032		−0.081		0.076		0.326	0.519**	0.114	0.143**	−0.165
	0.069	0.060		0.057		0.068		0.075		0.234	0.244	0.175	0.074	0.142
Japan	0.223***	−0.257***		0.117*		−0.043		0.024		−0.492*	−0.218	−0.164	0.103	0.318*
	0.083	0.072		0.069		0.083		0.091		0.283	0.296	0.212	0.090	0.172
Germany	0.105	0.029		−0.389***		0.337***		0.089		−0.423	−0.044	−0.569***	−0.106	−0.334**
	0.080	0.069		0.066		0.079		0.087		0.271	0.283	0.203	0.086	0.164
France	0.074	0.010		0.127**		−0.509***		−0.010		−0.394*	−0.094	−0.437***	−0.051	−0.209
	0.068	0.059		0.056		0.067		0.074		0.230	0.241	0.172	0.073	0.140
UK	−0.098	0.066		−0.123***		0.011		−0.594***		−0.229	0.367*	0.261*	−0.037	−0.087
	0.064	0.055		0.053		0.063		0.069		0.216	0.225	0.161	0.069	0.131
Russia	0.031*	−0.036**		0.008		−0.013		0.005		−0.415***	−0.023	−0.075*	−0.022	−0.069*
	0.018	0.016		0.015		0.018		0.020		0.062	0.065	0.046	0.020	0.038
China	0.021	−0.007		0.007		0.013		0.002		−0.079	−0.840***	−0.030	0.028	0.002
	0.018	0.016		0.015		0.018		0.020		0.061	0.063	0.045	0.019	0.037
India	−0.045*	0.032		−0.048***		0.028		−0.007		−0.197***	−0.021	−0.227***	0.032	−0.064
	0.025	0.022		0.021		0.025		0.027		0.084	0.088	0.063	0.027	0.051
S Korea	−0.035	−0.062		0.043		−0.068		0.061		−0.060	0.033	0.036	−0.717***	−0.069
	0.051	0.044		0.042		0.051		0.056		0.173	0.181	0.130	0.055	0.105
Brazil	−0.013	−0.005		0.010		0.022		0.020		0.196*	−0.076	0.029	0.063*	−0.121*
	0.031	0.027		0.025		0.030		0.034		0.104	0.109	0.078	0.033	0.063
Lag 2 of revisions
USA	−0.140*	0.067		0.115*		0.042		0.069		−0.170	0.493*	0.177	0.274***	−0.105
	0.074	0.064		0.061		0.074		0.081		0.252	0.263	0.188	0.080	0.153
Japan	0.103	−0.187***		0.046		−0.169**		−0.109		−0.212	−0.683**	0.260	0.106	0.255
	0.088	0.076		0.073		0.087		0.096		0.299	0.312	0.224	0.095	0.181
Germany	0.088	0.114		−0.134*		0.286***		0.122		0.317	0.008	−0.115	−0.016	−0.030
	0.084	0.073		0.070		0.084		0.092		0.286	0.300	0.215	0.091	0.174
France	0.018	0.023		0.098*		−0.209***		−0.016		−0.023	−0.015	−0.152	−0.105	−0.089
	0.071	0.061		0.059		0.070		0.077		0.239	0.250	0.179	0.076	0.145
UK	−0.021	0.123**		−0.015		−0.106		−0.214***		−0.012	−0.201	0.506***	−0.042	−0.159
	0.072	0.062		0.059		0.071		0.078		0.243	0.254	0.182	0.077	0.148
Russia	−0.005	−0.035**		−0.012		0.021		0.008		−0.095	−0.068	−0.099**	−0.019	−0.047
	0.020	0.017		0.016		0.020		0.022		0.067	0.070	0.050	0.021	0.041
China	0.035	−0.015		−0.003		0.040*		0.004		−0.093	−0.738***	−0.046	0.032	0.003
	0.024	0.021		0.020		0.024		0.027		0.083	0.087	0.062	0.026	0.050
India	−0.014	−0.008		−0.020		−0.014		−0.055**		−0.141*	0.099	−0.279***	0.051*	−0.017
	0.025	0.022		0.021		0.025		0.027		0.085	0.089	0.064	0.027	0.052
South Korea	0.050	−0.070		0.096**		−0.021		0.153***		−0.082	0.356*	−0.143	−0.301***	−0.056
	0.056	0.049		0.047		0.056		0.062		0.191	0.200	0.143	0.061	0.116
Brazil	0.021	−0.005		−0.034		−0.016		0.044		−0.104	0.001	0.118	−0.047	0.020
	0.031	0.027		0.026		0.031		0.034		0.106	0.111	0.079	0.034	0.064
Lag 3 of revisions
USA	−0.124*		0.034		0.006		0.126*		−0.065	0.035	0.213	0.217	0.042	−0.183
	0.072		0.062		0.060		0.071		0.078	0.243	0.255	0.182	0.078	0.148
Japan	0.166*		−0.083		−0.097		0.160*		−0.061	−0.233	0.163	−0.164	−0.066	−0.123
	0.089		0.077		0.074		0.088		0.097	0.302	0.316	0.226	0.096	0.183
Germany	0.170**		0.059		−0.036		0.074		0.050	−0.144	0.365	0.359*	0.123	0.210
	0.080		0.070		0.067		0.080		0.088	0.273	0.285	0.204	0.087	0.166
France	0.032		0.029		0.161***		−0.180***		0.001	−0.148	0.228	−0.001	0.041	0.068
	0.062		0.054		0.052		0.062		0.068	0.211	0.221	0.158	0.067	0.128
UK	0.019		0.051		0.054		−0.113*		0.022	0.035	−0.075	0.090	−0.006	−0.111
	0.065		0.056		0.054		0.064		0.071	0.220	0.230	0.165	0.070	0.133
Russia	−0.001		0.035**		0.002		0.013		0.007	−0.171***	−0.062	0.027	0.057***	−0.007
	0.018		0.016		0.015		0.018		0.020	0.061	0.064	0.046	0.020	0.037
China	−0.004		0.009		−0.068*		0.088*		−0.045	0.093	−0.191	0.123	0.028	−0.083
	0.049		0.043		0.041		0.049		0.054	0.167	0.174	0.125	0.053	0.101
India	−0.021		−0.025		−0.048**		−0.001		−0.014	−0.077	−0.028	−0.281***	−0.032	−0.019
	0.026		0.023		0.022		0.026		0.029	0.089	0.094	0.067	0.028	0.054
South Korea	0.021		−0.013		0.110***		−0.018		0.086*	0.112	0.095	0.004	−0.066	−0.066
	0.048		0.042		0.040		0.048		0.053	0.163	0.171	0.122	0.052	0.099
Brazil	0.012		−0.027		0.006		−0.025		−0.004	0.193*	−0.087	−0.013	−0.050	0.107*
	0.030		0.026		0.025		0.030		0.033	0.103	0.108	0.077	0.033	0.062

Note: The table presents the coefficients and t-tests from the VAR model of forecast revisions. *, **, and *** denote significance at the 10%, 5%, and 1% level, respectively.

Table 9. Variance decomposition by generalized decomposition

	Explained by
Forecast revision	USA (%)	Japan (%)	Germany (%)	France (%)	UK (%)	Russia (%)	China (%)	India (%)	South Korea (%)	BRAZIL (%)
USA	51	4	7	6	11	1	4	6	7	2
Japan	4	68	2	7	2	6	2	0	8	1
Germany	7	2	54	2	12	2	10	7	2	2
France	8	9	4	56	5	2	9	1	4	2
UK	9	0	8	6	57	1	4	5	6	2
Russia	2	4	5	4	4	59	4	9	3	5
China	4	3	3	2	3	0	82	1	2	0
India	6	2	7	3	6	8	6	56	3	2
South Korea	8	6	3	3	7	4	2	3	62	3
Brazil	6	2	5	4	5	7	3	5	4	60

Figure 1. Generalized impulse responses of forecast revisions: own-country responses. (In percentage points, with two standard deviation confidence bands.).

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