Constructing Fan Charts from the Ragged Edge of SPF Forecasts

Todd Clark, Gergely Ganics and Elmar Mertens

No 22-36R, Working Papers from Federal Reserve Bank of Cleveland

Abstract: We develop models that take point forecasts from the Survey of Professional Forecasters (SPF) as inputs and produce estimates of survey-consistent term structures of expectations and uncertainty at arbitrary forecast horizons. Our models combine fixed-horizon and fixed-event forecasts, accommodating time-varying horizons and availability of survey data, as well as potential inefficiencies in survey forecasts. The estimated term structures of SPF-consistent expectations are comparable in quality to the published, widely used short-horizon forecasts. Our estimates of time-varying forecast uncertainty reflect historical variations in realized errors of SPF point forecasts, and generate fan charts with reliable coverage rates.

Keywords: term structure of expectations; uncertainty; survey forecasts; fan charts (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Pages: 48
Date: 2024-08-06
New Economics Papers: this item is included in nep-ecm
Note: Replication files are available at https://github.com/elmarmertens/ClarkGanicsMertensSPFfancharts.
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Related works:
Working Paper: Constructing fan charts from the ragged edge of SPF forecasts (2024)
Working Paper: Constructing fan charts from the ragged edge of SPF forecasts (2024)
Working Paper: Constructing Fan Charts from the Ragged Edge of SPF Forecasts (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwq:98629

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DOI: 10.26509/frbc-wp-202236r

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