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Keywords:Survey of Professional Forecasters 

Can Economists Predict Recessions?

An analysis of 55 years of data from the Survey of Professional Forecasters suggests that quarter-ahead recession forecasts are fairly accurate but still have a great deal of uncertainty.
On the Economy

A Bayesian Approach to Inference on Probabilistic Surveys

We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there is no relationship whatsoever between subjective uncertainty and forecast accuracy for output growth density projections, both across forecasters and over time, and only a mild relationship for inflation projections. As the horizon ...
Staff Reports , Paper 1025

Working Paper
The Chicago Fed DSGE Model: Version 2

The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the Federal Reserve Bank of Chicago. This guide describes its specification, estimation, dynamic characteristics, and how it is used to forecast the U.S. economy. In many respects the model resembles other medium-scale New Keynesian frameworks, but there are several features which distinguish it: the monetary policy rule includes anticipated future deviations, productivity is driven by both neutral and investment specific technical change, multiple price and wage indices identify ...
Working Paper Series , Paper WP 2023-36

Working Paper
Predictable Forecast Errors in Full-Information Rational Expectations Models with Regime Shifts

This paper shows that regime shifts in Full-Information Rational Expectations (FIRE) models generate predictable regime-dependent forecast errors in macro aggregates. Hence, forecast error predictability alone is neither sufficient to reject FIRE nor informative about alternative expectations theories. We instead propose a regime-robust test of FIRE and apply it to a medium-scale New Keynesian model with monetary policy regime shifts that is estimated on US data. While the test fails to decisively reject FIRE, the model conditional on macro data implies expectations that are generally ...
Working Papers , Paper 24-08



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