Constructing fan charts from the ragged edge of SPF forecasts

Todd Clark, Gergely Ganics and Elmar Mertens
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Gergely Ganics: Banco de España

No 2429, Working Papers from Banco de España

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.

Keywords: term structure of expectations; uncertainty; survey forecasts; fan charts (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Pages: 124 pages
Date: 2024-09
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https://www.bde.es/f/webbe/SES/Secciones/Publicaci ... 24/Files/dt2429e.pdf First version, September 2024 (application/pdf)

Related works:
Working Paper: Constructing Fan Charts from the Ragged Edge of SPF Forecasts (2024)
Working Paper: Constructing fan charts from the ragged edge of SPF forecasts (2024)
Working Paper: Constructing Fan Charts from the Ragged Edge of SPF Forecasts (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:2429

DOI: 10.53479/37597

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