Constructing Fan Charts from the Ragged Edge of SPF Forecasts

RePEc Short ID: pcl55
ORCID iD: 0000-0002-4985-1709

Clark, Todd E.; Ganics, Gergely; Mertens, Elmar

doi:10.26509/frbc-wp-202236r

Working Paper

Constructing Fan Charts from the Ragged Edge of SPF Forecasts

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;

JEL Classification: E37; C53;

https://doi.org/10.26509/frbc-wp-202236r