Suchergebnisse

Cover -- Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections -- Abstract -- 1 Introduction -- 2 Overfitting and the bias-variance trade-off -- 3 Optimal shrinkage for WEO forecasts -- 4 Benchmarking forecast accuracy -- 5 Predictors and noise -- 6 Are IMF forecasts robust predictors of growth? -- 7 Conclusion -- References -- Appendix -- A: Performance of Null model and WEO forecasts over time -- B: The LASSO estimator -- C: Detailed results for Section 5 -- D: Additional results for Sections 4 and 6: cumulative growth rates -- Figure -- Figure 1: Average information content of IMF real GDP growth forecast revisions -- Figure 2: Overfitting: out-of-sample performance in an artificial linear example -- Figure 3: Shrinkage coe cients in an artificial linear example -- Figure 4: Optimal shrinkage coe cients for real GDP growth projections, by forecast horizon -- Figure 5: Optimal shrinkage coe cients for cumulative real GDP growth projections, by forecast horizon -- Figure 6: Comparison of WEO forecast performance with and without Copas (1983) transformation (out of sample) -- Figure 7: Standard deviation of WEO annual real GDP growth forecasts, by income group -- Figure 8: Mean squared error for Spring WEO projections and Null model forecasts -- Figure 9: Comparison of WEO and model-based forecast performance -- Figure 10 -- Figure 11: Selection probabilities and regression coe cients for WEO forecasts as predictors of growth -- Figure 12: MSE for Spring WEO projections and Null model forecasts for annual real GDP growth -- Figure 13 -- Figure 14: MSE for Spring WEO projections and Null model forecasts, by income group -- Figure 15: Selection probabilities and regression coe cients for WEO forecasts as predictors of cumulative growth -- Table

Cover -- Contents -- Abstract -- I. Introduction -- II. Building the Static Public Sector Balance Sheet -- III. Evolution of the Public Sector Balance Sheet since 1945 -- IV. The Intertemporal Public Sector Balance Sheet -- V. Stress-testing the Public Sector Balance Sheet -- VI. Conclusion -- References -- Annex 1. Projecting the Intertemporal Public Sector Balance Sheet: Underlying Assumptions and Projections -- Annex 2. Estimating a VAR Model for Loan Losses -- Annex 3. Data Sources and Assumptions for the Construction of the Static Public Sector Balance Sheet -- Figures -- Figure 1. United States: From General Government Gross Debt to Public Sector Net Worth (in percent of GDP, 2016) -- Figure 2. United States: Public Sector Assets and Liabilities since 1945 (percent of GDP) -- Figure 3. United States: Evolution of Public Sector Net Worth since 1945 (percent of GDP) -- Figure 4. United States: Annual Changes in Public Sector Net Worth, 1946-2016 -- Figure 5. United States: Consolidated Public Sector Balance Sheet, 1945-2016 (in percent of GDP) -- Figure 6. United States: Public Sector Cross-Holdings (percent of GDP) -- Figure 7. Federal Reserve's Total Debt Holdings, 2007-18 (percent of GDP) -- Figure 8. General Government Fixed Assets (percent of GDP) -- Figure 9. Categories of General Government Fixed Assets (percent of total) -- Figure 10. Federal Government Fixed Assets by Purpose (percent of GDP) -- Figure 11. Total General Government Nonfinancial Assets (percent of GDP) -- Figure 12. United States: Federal Government Financial Assets (in percent of GDP) -- Figure 13. United States: State and Local Government Financial Assets (in percent of GDP) -- Figure 14. United States: Federal -- Figure 15. United States: State and Local Government Liabilities (in percent of GDP).