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Decoding underprediction and anchoring in BEA's GDP backcasts

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  • Booth, Geoffrey G.
  • Ellina, Polina
  • Theodossiou, Panayiotis

Abstract

This paper applies a Skewed Generalized Error Distribution (SGED) framework to evaluate the distributional properties of the Bureau of Economic Analysis’s 15-, 45-, and 75-day backcasts of quarterly nominal and real GDP growth. By modeling the mode, skewness, and tail thickness jointly, we assess informational efficiency and the extent to which early GDP estimates vary across business-cycle conditions. The results show systematic departures from efficiency: mean errors remain negative in expansions, variances do not decline monotonically across releases, and all error distributions exhibit heavy tails. The most probable forecast error (mode) deviates from zero in a clear, state-dependent pattern, negative in expansions and positive in contractions, while tail risks intensify in downturns. These regime-dependent shifts suggest persistent anchoring and elevated uncertainty in early-release estimates. The SGED framework thus highlights structural features of BEA backcasts that shape real-time inference and underscores the need for continued improvements in measurement, transparency, and early-data interpretation.

Suggested Citation

  • Booth, Geoffrey G. & Ellina, Polina & Theodossiou, Panayiotis, 2026. "Decoding underprediction and anchoring in BEA's GDP backcasts," Journal of Financial Stability, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:finsta:v:83:y:2026:i:c:s1572308926000112
    DOI: 10.1016/j.jfs.2026.101509
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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • 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

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