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Constructing fan charts from the ragged edge of SPF forecasts

Author

Listed:
  • Todd E. Clark

    (FEDERAL RESERVE BANK OF CLEVELAND)

  • Gergely Ganics

    (Banco de España)

  • Elmar Mertens

    (DEUTSCHE BUNDESBANK)

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 realised errors of SPF point forecasts and generate fan charts with reliable coverage rates.

Suggested Citation

  • Todd E. Clark & Gergely Ganics & Elmar Mertens, 2024. "Constructing fan charts from the ragged edge of SPF forecasts," Working Papers 2429, Banco de España.
    • Handle: RePEc:bde:wpaper:2429
    DOI: https://doi.org/10.53479/37597
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    Keywords

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    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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