{"title":"国际货币基金组织对计划国储备和债务预测的系统性偏差","authors":"Theo S. Eicher, Reina Kawai","doi":"10.1016/j.ijforecast.2023.08.007","DOIUrl":null,"url":null,"abstract":"<div><p>Countries experiencing balance of payments<span><span><span> (BOP) crises may obtain IMF loans to stabilize external accounts. These loans require IMF programs that outline performance targets to ensure forecasted recovery trajectories. Two key indicators of external account performance are reserves and short-term external debt (“STdebt”). Extensive literature evaluates IMF forecasts, but reserves and STdebt have not been studied. We construct a database of nearly 300 BOP crisis countries with IMF BOP programs from 1992–2019. Reserve forecasts are shown to be systematically biased and inefficient, a result that is startlingly persistent across (a) degrees of </span>capital mobility<span><span>, (b) trade openness, (c) </span>exchange rate regimes, (d) </span></span>inflation<span>, and (e) country income levels. We show the bias is driven by deeply pessimistic IMF reserve forecasts that underestimate reserves and systematically ignore information known at the time of the forecast. STdebt forecasts are also inefficient but with an optimistic bias, systematically underestimating future debt. If STdebt is used to peg reserve requirements, the optimistic bias of STdebt forecasts may drive the pessimistic bias of reserve forecasts.</span></span></p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":null,"pages":null},"PeriodicalIF":6.9000,"publicationDate":"2023-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Systemic bias of IMF reserve and debt forecasts for program countries\",\"authors\":\"Theo S. Eicher, Reina Kawai\",\"doi\":\"10.1016/j.ijforecast.2023.08.007\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Countries experiencing balance of payments<span><span><span> (BOP) crises may obtain IMF loans to stabilize external accounts. These loans require IMF programs that outline performance targets to ensure forecasted recovery trajectories. Two key indicators of external account performance are reserves and short-term external debt (“STdebt”). Extensive literature evaluates IMF forecasts, but reserves and STdebt have not been studied. We construct a database of nearly 300 BOP crisis countries with IMF BOP programs from 1992–2019. Reserve forecasts are shown to be systematically biased and inefficient, a result that is startlingly persistent across (a) degrees of </span>capital mobility<span><span>, (b) trade openness, (c) </span>exchange rate regimes, (d) </span></span>inflation<span>, and (e) country income levels. We show the bias is driven by deeply pessimistic IMF reserve forecasts that underestimate reserves and systematically ignore information known at the time of the forecast. STdebt forecasts are also inefficient but with an optimistic bias, systematically underestimating future debt. If STdebt is used to peg reserve requirements, the optimistic bias of STdebt forecasts may drive the pessimistic bias of reserve forecasts.</span></span></p></div>\",\"PeriodicalId\":14061,\"journal\":{\"name\":\"International Journal of Forecasting\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":6.9000,\"publicationDate\":\"2023-09-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Forecasting\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0169207023000821\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Forecasting","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0169207023000821","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Systemic bias of IMF reserve and debt forecasts for program countries
Countries experiencing balance of payments (BOP) crises may obtain IMF loans to stabilize external accounts. These loans require IMF programs that outline performance targets to ensure forecasted recovery trajectories. Two key indicators of external account performance are reserves and short-term external debt (“STdebt”). Extensive literature evaluates IMF forecasts, but reserves and STdebt have not been studied. We construct a database of nearly 300 BOP crisis countries with IMF BOP programs from 1992–2019. Reserve forecasts are shown to be systematically biased and inefficient, a result that is startlingly persistent across (a) degrees of capital mobility, (b) trade openness, (c) exchange rate regimes, (d) inflation, and (e) country income levels. We show the bias is driven by deeply pessimistic IMF reserve forecasts that underestimate reserves and systematically ignore information known at the time of the forecast. STdebt forecasts are also inefficient but with an optimistic bias, systematically underestimating future debt. If STdebt is used to peg reserve requirements, the optimistic bias of STdebt forecasts may drive the pessimistic bias of reserve forecasts.
期刊介绍:
The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.