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Constructing a conditional GDP fan chart with an application to French business survey data

Author

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  • Matthieu Cornec

    (Institut national de la statistique et des études économiques)

Abstract

Interval confidence and density forecasts, notably in the form of “fan charts”, are useful tools to describe the uncertainty inherent to any point forecast. However, the existing techniques suffer from several drawbacks. We propose a new method to represent uncertainty in realtime that is conditional upon the economic outlook, non-parametric and reproducible. Moreover, we build a Forecasting Risk Index associated with our fan chart to measure the intrinsic difficulty of the forecasting exercise. Using balances of opinion of different business surveys carried out by the French statistical institute INSEE, our GDP fan chart efficiently captures the growth stall during the crisis on a real-time basis. Our Forecasting Risk Index has increased substantially in this period of turbulence, showing signs of growing uncertainty. Keywords: Density forecast, quantile regressions, business tendency surveys, fan charts JEL classification: E32, E37, E66, C22

Suggested Citation

  • Matthieu Cornec, 2014. "Constructing a conditional GDP fan chart with an application to French business survey data," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 109-127.
    • Handle: RePEc:oec:stdkab:5jz417xzw931
    DOI: 10.1787/jbcma-2013-5jz417xzw931
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    More about this item

    Keywords

    density forecast; quantile regressions; business tendency surveys; fan charts jel classification: e32; e37; e66; c22;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions

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