. 2022 Sep 3;71(2):509–537. doi: 10.1057/s41308-022-00187-3

Table 3.

Results from panel forecast efficiency tests

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
Credit-to-GDP gap (change from t−3 to t−1)	0.06***	0.02**	0.03***	0.02**	0.03***	0.03***	0.03***	0.02***
Credit-to-GDP gap (change from t−3 to t−1)	(0.02)	(0.01)	(0.01)	(0.01)	(0.01)	(0.01)	(0.01)	(0.01)
Share of loans denom. FX (t−1)	−0.00	−0.00	−0.00	0.00	0.01**	−0.01**	−0.00	−0.00
Share of loans denom. FX (t−1)	(0.00)	(0.00)	(0.00)	(0.01)	(0.01)	(0.00)	(0.00)	(0.00)
Real house price growth (t−3 to t−1)				0.05**
Real house price growth (t−3 to t−1)				(0.02)
Dummy: Civil conflict	0.05	−0.30	−0.14	−0.10	−0.09	−0.36	−0.17	−0.12
Dummy: Civil conflict	(0.32)	(0.33)	(0.25)	(0.33)	(0.43)	(0.31)	(0.25)	(0.25)
Exp. fiscal adjustment (t−1 to t+2)	0.01	−0.02	−0.01	0.04	0.03	−0.04	0.02	−0.01
Exp. fiscal adjustment (t−1 to t+2)	(0.05)	(0.04)	(0.03)	(0.06)	(0.04)	(0.05)	(0.02)	(0.03)
FE trade partners’ growth (t+1)	0.50***	0.50***	0.50***	0.49***	0.23***	0.52***	0.50***	0.49***
FE trade partners’ growth (t+1)	(0.06)	(0.05)	(0.04)	(0.06)	(0.04)	(0.05)	(0.04)	(0.04)
Ex post revision to real GDP (t−1)	−0.05	0.21**	0.08	0.01	0.08	0.06	0.04	0.08
Ex post revision to real GDP (t−1)	(0.09)	(0.11)	(0.07)	(0.18)	(0.09)	(0.07)	(0.07)	(0.07)
Real GDP growth (t−1)	0.09**	0.08**	0.08**	0.01	0.07	0.01	0.09***	0.08**
Real GDP growth (t−1)	(0.04)	(0.04)	(0.03)	(0.04)	(0.06)	(0.03)	(0.03)	(0.03)
REER Gap (change from t−3 to t−1)							0.05***
REER Gap (change from t−3 to t−1)							(0.01)
Interact: REER * Hi FX loans							−0.05**
Interact: REER * Hi FX loans							(0.02)
Dummy: Banking crisis (t−1 or t−2)								0.06
Dummy: Banking crisis (t−1 or t−2)								(0.51)
Dummy: Banking crisis (t or t+1)								1.21***
Dummy: Banking crisis (t or t+1)								(0.41)
Constant	−0.24	0.02	−0.05	−0.13	2.39***	0.19	−0.09	−0.09
Constant	(0.31)	(0.16)	(0.14)	(0.17)	(0.28)	(0.15)	(0.14)	(0.15)
Sample	Program	No program	All	All	${\hat{g}}_{c, t}^{v}$ >pct75	Consensus Forecasts	All	All
Observations	1425	2374	3799	1429	948	2056	3727	3799
R²	0.23	0.26	0.24	0.35	0.15	0.34	0.26	0.25
Time period	2003–2019	2003–2019	2003–2019	2003–2019	2003–2019	2003–2019	2003–2019	2003–2019
Mean of dep. variable ( ${\hat{g}}_{vc}$ )	0.00	0.32	0.20	0.23	3.51	0.07	0.22	0.20

The dependent variable is ${\hat{g}}_{vc}$ , the forecast error for annualized growth of real output from t−1 to t+1. White heteroskedasticity-robust standard errors clustered by country are shown in parentheses. The use of *** denotes a coefficient significantly different from zero at the 0.01 confidence level; **0.05; *0.10. Full sample includes all forecast vintages from WEO and MONA databases covering 130 countries. Consensus Forecasts includes semiannual forecasts for 67 countries