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Financial crises pose unique challenges for forecast accuracy. Using the IMF’s Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in times of crises. We examine 29 macroeconomic variables in terms of bias, efficiency, and information content to find that IMF forecasts add substantial informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of nominal GDP, public investment, private investment, the current account, net transfers, and government expenditures) exhibit significant forecast bias. Forecasts for low-income countries are the main drivers of forecast bias and inefficiency, reflecting perhaps larger shocks and lower data quality. When we decompose the forecast errors into their sources, we find that forecast errors for private consumption growth are the key contributor to GDP growth forecast errors. Similarly, forecast errors for non-interest expenditure growth and tax revenue growth are crucial determinants of the forecast errors in the growth of fiscal budgets. Forecast errors for balance of payments growth are significantly influenced by forecast errors in goods import growth. The results highlight which macroeconomic aggregates require further attention in future forecast models for countries in crises.

Accounting --- Exports and Imports --- Macroeconomics --- Public Finance --- Forecasting and Other Model Applications --- Large Data Sets: Modeling and Analysis --- International Finance: General --- Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation --- Current Account Adjustment --- Short-term Capital Movements --- National Government Expenditures and Related Policies: General --- Forecasting and Simulation: Models and Applications --- Public Administration --- Public Sector Accounting and Audits --- Public finance & taxation --- International economics --- Finance --- Economic Forecasting --- Public finance accounting --- Expenditure --- Current account --- Financial account --- GDP forecasting --- Fiscal accounting and reporting --- Expenditures, Public --- Balance of payments --- International finance --- National income --- Finance, Public --- Gdp forecasting