Survey-based nowcasting of US growth: a real-time forecast comparison over more than 40 years

Bernd Schnatz () and Antonello D'Agostino

No 1455, Working Paper Series from European Central Bank

Abstract: Reliable and timely information about current economic conditions is crucial for policy makers and expectations formation. This paper demonstrates the efficacy of the Survey of Professional Forecasters (SPF) and the Purchasing Manager Indices (PMI) in anticipating US real economic activity. We conduct a fully-fledged real-time out-ofsample forecasting exercise linking these surveys to US GDP and industrial production growth over a long sample period. We find that both indicators convey valuable information for assessing current economic conditions. The SPF clearly outperforms the PMI in forecasting GDP growth, while it performs quite poorly in anticipating industrial production growth. Combining the information included in both surveys further improves the accuracy of both, the PMI and the SPF-based forecast. JEL Classification: E37, E47, C22, C53

Keywords: business cycle; forecasting; PMI; Real Time Data; US (search for similar items in EconPapers)
Date: 2012-08
New Economics Papers: this item is included in nep-for and nep-mac
Note: 231394
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20121455

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