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;
https://doi.org/10.26509/frbc-wp-202236r
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers
Publication Date: 2024-08-06
Number: 22-36R
Note: Replication files are available at https://github.com/elmarmertens/ClarkGanicsMertensSPFfancharts.