Search Results
Working Paper
All Forecasters Are Not the Same: Time-Varying Predictive Ability across Forecast Environments
This paper examines data from the European Central Bank’s Survey of Professional Forecasters to investigate whether participants display equal predictive performance. We use panel data models to evaluate point- and density-based forecasts of real GDP growth, inflation, and unemployment. The results document systematic differences in participants’ forecast accuracy that are not time invariant, but instead vary with the difficulty of the forecasting environment. Specifically, we find that some participants display higher relative accuracy in tranquil environments, while others display ...
Discussion Paper
Are Professional Forecasters Overconfident?
The post-COVID years have not been kind to professional forecasters, whether from the private sector or policy institutions: their forecast errors for both output growth and inflation have increased dramatically relative to pre-COVID (see Figure 1 in this paper). In this two-post series we ask: First, are forecasters aware of their own fallibility? That is, when they provide measures of the uncertainty around their forecasts, are such measures on average in line with the size of the prediction errors they make? Second, can forecasters predict uncertain times? That is, does their own ...
Discussion Paper
Making a Statement: How Did Professional Forecasters React to the August 2011 FOMC Statement?
The Federal Open Market Committee (FOMC) statement released on August 9, 2011, was the first to incorporate language on “forward guidance” with an explicit date tied to the Committee’s expected path of monetary policy. In this post, we exploit the timing of surveys taken before and after this statement’s release to investigate how professional forecasters changed their expectations of growth, inflation, and monetary policy. We find that the average forecast of the federal funds rate shifts considerably and closely aligns with the new language in the statement, while the average ...
Discussion Paper
Can Professional Forecasters Predict Uncertain Times?
Economic surveys are very popular these days and for a good reason. They tell us how the folks being surveyed—professional forecasters, households, firm managers—feel about the economy. So, for instance, the New York Fed’s Survey of Consumer Expectations (SCE) website displays an inflation uncertainty measure that tells us households are more uncertain about inflation than they were pre-COVID, but a bit less than they were a few months ago. The Philadelphia Fed’s Survey of Professional Forecasters (SPF) tells us that forecasters believed last May that there was a lower risk of ...
Working Paper
Nowcasting U.S. Headline and Core Inflation
Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious model for nowcasting headline and core inflation in the U.S. price index for personal consumption expenditures (PCE) and the consumer price index (CPI). The model relies on relatively few variables and is tested using real-time data. The model?s nowcasting accuracy improves as information accumulates over the course of a month or quarter, and it easily outperforms a variety of statistical benchmarks. In head-to-head comparisons, the model?s nowcasts of CPI infl ation ...