Survey of Professional Forecasters

Last updated

The Survey of Professional Forecasters (SPF) is a quarterly survey of macroeconomic forecasts for the economy of the United States issued by the Federal Reserve Bank of Philadelphia. It is the oldest such survey in the United States.

Contents

The survey includes an "anxious index" that estimates the probability of a decline in real GDP. [1]

History

The survey began in 1968 and was conducted by the American Statistical Association (ASA) and the National Bureau of Economic Research (NBER). The Federal Reserve Bank of Philadelphia took over the survey in 1990. [2] [3] In its early days (prior to the takeover by the Federal Reserve Bank of Philadelphia) the survey was often referred to in the academic literature as the ASA-NBER survey. [4]

In May 2008, it was announced that SPF would be adding an industry classification variable for its survey respondents, so that researchers could more easily determine how people's forecasts related to the industry they were from. [5]

Variables

The Survey of Professional Forecasters includes variables in the following broad categories: [6]

Reception

SPF has been used in academic research on forecast accuracy and forecast bias. [4] [7] [8]

A 1997 analysis of density forecasts of inflation made in the SPF finds: "The probability of a large negative inflation shock is generally overestimated, and in more recent years the probability of a large shock of either sign is overestimated. Inflation surprises are serially correlated, although agents eventually adapt. Expectations of low inflation are associated with reduced uncertainty. The results suggest several promising directions for future research." [9]

Bias and Errors

SPF keeps a record of the bias and error in its own past forecasts online. [10] Their forecasting track record and the implications of their forecasts have been discussed on business press and blogs, including Forbes and the Wall Street Journal . [11] [12] [13] [14]

Studies have shown that professional survey forecasts can be biased, such as displaying pessimism or overconfidence. [15] Additionally, heterogeneity in the survey forecasts at the individual level can be linked to the experience and education of the surveyed professionals. [16]

See also

Related Research Articles

<span class="mw-page-title-main">Recession</span> Business cycle contraction

In economics, a recession is a business cycle contraction that occurs when there is a general decline in economic activity. Recessions generally occur when there is a widespread drop in spending. This may be triggered by various events, such as a financial crisis, an external trade shock, an adverse supply shock, the bursting of an economic bubble, or a large-scale anthropogenic or natural disaster.

<span class="mw-page-title-main">Business cycle</span> Intervals of expansion and recession in economic activity

Business cycles are intervals of expansion followed by recession in economic activity. A recession is sometimes technically defined as 2 quarters of negative GDP growth, but definitions vary; for example, in the United States, a recession is defined as "a significant decline in economic activity spread across the market, lasting more than a few months, normally visible in real GDP, real income, employment, industrial production, and wholesale-retail sales." The changes in economic activity that characterize business cycles have implications for the welfare of the broad population as well as for private institutions. Typically business cycles are measured by examining trends in a broad economic indicator such as Real Gross Domestic Production.

Economic forecasting is the process of making predictions about the economy. Forecasts can be carried out at a high level of aggregation—for example for GDP, inflation, unemployment or the fiscal deficit—or at a more disaggregated level, for specific sectors of the economy or even specific firms. Economic forecasting is a measure to find out the future prosperity of a pattern of investment and is the key activity in economic analysis. Many institutions engage in economic forecasting: national governments, banks and central banks, consultants and private sector entities such as think-tanks, companies and international organizations such as the International Monetary Fund, World Bank and the OECD. A broad range of forecasts are collected and compiled by "Consensus Economics". Some forecasts are produced annually, but many are updated more frequently.

<span class="mw-page-title-main">Federal Reserve Bank of Philadelphia</span> Member Bank of Federal Reserve

The Federal Reserve Bank of Philadelphia — also known as the Philadelphia Fed or the Philly Fed — headquartered at 10 Independence Mall in Philadelphia, Pennsylvania, is responsible for the Third District of the Federal Reserve, which covers eastern and central Pennsylvania, the nine southern counties of New Jersey, and Delaware. Its geographical territory is by far the smallest in the system, and its population base is the second-smallest. The current President of the Philadelphia Fed is Patrick T. Harker.

In macroeconomics, inflation targeting is a monetary policy where a central bank follows an explicit target for the inflation rate for the medium-term and announces this inflation target to the public. The assumption is that the best that monetary policy can do to support long-term growth of the economy is to maintain price stability, and price stability is achieved by controlling inflation. The central bank uses interest rates as its main short-term monetary instrument.

The Philadelphia Fed Report, formally known as the Business Outlook Survey and sometimes abbreviated as BOS, is a monthly survey produced by the Federal Reserve Bank of Philadelphia which questions manufacturers on general business conditions. The index covers the Third Federal Reserve District, namely covers eastern and central Pennsylvania, the nine southern counties of New Jersey, and Delaware. The report is sometimes also called the Philadelphia Fed Index because it includes reporting of some index values.

<span class="mw-page-title-main">Great Moderation</span> Phenomenon in economies of developed nations since the mid-1980s

The Great Moderation is a period in the United States of America starting from the mid-1980s until at least 2007 characterized by the reduction in the volatility of business cycle fluctuations in developed nations compared with the decades before. It is believed to be caused by institutional and structural changes, particularly in central bank policies, in the second half of the twentieth century.

<span class="mw-page-title-main">James B. Bullard</span> Federal Reserve Bank president

James Brian Bullard is the chief executive officer and 12th president of the Federal Reserve Bank of St. Louis, positions he has held since 2008. He is serving a term that began on March 1, 2021 and will end in December 2023. In 2014, he was named the 7th most influential economist in the world in terms of media influence. Following his current term, Bullard will move to Purdue University to become the Dean of the Mitchell E. Daniels, Jr. School of Business.

See Business Cycle.

The Supervisory Capital Assessment Program, publicly described as the bank stress tests, was an assessment of capital conducted by the Federal Reserve System and thrift supervisors to determine if the largest U.S. financial organizations had sufficient capital buffers to withstand the recession and the financial market turmoil. The test used two macroeconomic scenarios, one based on baseline conditions and the other with more pessimistic expectations, to plot a 'What If?' exploration into the banking situation in the rest of 2009 and into 2010. The capital levels at 19 institutions were assessed based on their Tier 1 common capital, although it was originally thought that regulators would use tangible common equity as the yardstick. The results of the tests were released on May 7, 2009, at 5pm EST.

Nowcasting in economics is the prediction of the very recent past, the present, and the very near future state of an economic indicator. The term is a portmanteau of "now" and "forecasting" and originates in meteorology. Typical measures used to assess the state of an economy, such as gross domestic product (GDP) or inflation, are only determined after a delay and are subject to revision. In these cases, nowcasting such indicators can provide an estimate of the variables before the true data are known. Nowcasting models have been applied most notably in Central Banks, who use the estimates to monitor the state of the economy in real-time as a proxy for official measures.

The ECB Survey of Professional Forecasters, simply called the Survey of Professional Forecasters (SPF), is a quarterly survey of macroeconomic forecasts for the economy of Europe issued by the European Central Bank (ECB).

Blue Chip Economic Indicators is a monthly survey and associated publication by Wolters Kluwer collecting macroeconomic forecasts related to the economy of the United States. The survey polls America's top business economists, collecting their forecasts of U.S. economic growth, inflation, interest rates, and a host of other critical indicators of future business activity. It has a sister publication called Blue Chip Financial Forecasts, which surveys forecasts of the future direction and level of U.S. interest rates.

Consensus Economics is a global macroeconomic survey firm that polls more than 700 economists monthly for their forecasts for over 2000 macroeconomic indicators in 115 countries. The company is headquartered in London, United Kingdom.

Economic Outlook is a twice-yearly analysis published by the Organisation for Economic Co-operation and Development (OECD) with economic analysis and forecasts for future economic performance of OECD countries. The main version is in English, and it is also published in French and German. The OECD also publishes Monthly Economic Indicators to complement the twice-yearly Economic Outlook.

The Livingston Survey is a biannual survey about the economy of the United States conducted by the Federal Reserve Bank of Philadelphia. Begun in 1946, it is the longest continuous record of economists' expectations.

The Greenbook of the Federal Reserve Board of Governors is a book with projections of various economic indicators for the economy of the United States produced by the Federal Reserve Board before each meeting of the Federal Open Market Committee. The projections are referred to as Greenbook projections or Greenbook forecasts. Many of the variables projected coincide with variables covered in the Survey of Professional Forecasters.

The Asian Development Outlook is an annual publication produced by the Asian Development Bank (ADB). It offers economic analysis and forecasts, as well as an examination of social development issues, for most countries in Asia. It is published each March/April with an update published in September and brief supplements published in July and December. The publication is prepared by staff of ADB's regional departments, and field offices, under the coordination of the Economic Research and Regional Cooperation Department with the goal of developing "consistent forecasts for the region".

The Aruoba-Diebold-Scotti Business Conditions Index is a coincident business cycle indicator used in macroeconomics in the United States. The index measures business activity, which may be correlated with periods of expansion and contraction in the economy. The primary and novel function of the ADS index stems from its use of high-frequency economic data and subsequent high-frequency updating, opposed to the traditionally highly-lagged and infrequently-published macroeconomic data such as GDP.

References

  1. ↑ "The Anxious Index". Federal Reserve Bank of Philadelphia.
  2. ↑ "Survey of Professional Forecasters". Federal Reserve Bank of Philadelphia . Retrieved April 13, 2014.
  3. ↑ Croushure, Dean (November–December 1993). "Introducing: The Survey of Professional Forecasters" (PDF). Business Review.
  4. 1 2 "Academic Bibliography". Federal Reserve Bank of Philadelphia . Retrieved April 13, 2014.
  5. ↑ Chew, John; Price, Calvin (May 2008). "Introducing: An Industry Classification for the Survey of Professional Forecasters" (PDF). Retrieved April 13, 2014.
  6. ↑ "Historical Data Files for the Survey of Professional Forecasters". Federal Reserve Bank of Philadelphia. August 10, 2012. Retrieved April 13, 2014.
  7. ↑ Clements, Michael (November 22, 2002). "An evaluation of the Survey of Professional Forecasters probability distributions of expected inflation and output growth" (PDF). Retrieved April 13, 2014.
  8. ↑ Manzan, Sebastiano (August 2011). "Differential Interpretation in the Survey of Professional Forecasters". Journal of Money, Credit and Banking . 43 (5): 993–1017. CiteSeerX   10.1.1.592.2574 . doi:10.1111/j.1538-4616.2011.00404.x.
  9. ↑ Diebold, Francis X.; Tay, Anthony S.; Wallis, Kenneth F. (October 1997). "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters". NBER Working Paper No. 6228. doi: 10.3386/w6228 . S2CID   5242186.
  10. ↑ "Forecast Error Statistics for the Survey of Professional Forecasters". Federal Reserve Bank of Philadelphia . Retrieved April 13, 2014.
  11. ↑ Conerly, Bill (September 2, 2013). "Economic Assumptions For Your 2014 Business Plan". Forbes . Retrieved April 21, 2014.
  12. ↑ Derby, Michael (August 13, 2010). "Economists in Philly Fed Survey More Pessimistic". Wall Street Journal . Retrieved April 13, 2014.
  13. ↑ Jones, Clive (February 25, 2014). "The Accuracy of Macroeconomics Forecasts – Survey of Professional Forecasters". Business Forecasting. Retrieved April 13, 2014.
  14. ↑ Kavadas, Ted (November 26, 2013). "Philadelphia Fed – 4th Quarter 2013 Survey Of Professional Forecasters". EconomicGreenfield. Retrieved April 13, 2014.
  15. ↑ Huang, Rong; Pilbeam, Keith; Pouliot, William (May 2022). "Are Macroeconomic Forecasters Optimists or Pessimists? A Reassessment of Survey Based Forecasts". Journal of Economic Behavior and Organization . 197: 706–724. doi:10.1016/j.jebo.2022.03.012.
  16. ↑ Benchimol, Jonathan; El-Shagi, Makram; Saadon, Yossi (September 2022). "Do Expert Experience and Characteristics Affect Inflation Forecasts?". Journal of Economic Behavior and Organization . 201: 205–226. doi:10.1016/j.jebo.2022.06.025.
  17. ↑ "Philadelphia Fed's Greenbook Data Set". Federal Reserve Bank of Philadelphia . Retrieved April 18, 2014.
This page is based on this Wikipedia article
Text is available under the CC BY-SA 4.0 license; additional terms may apply.
Images, videos and audio are available under their respective licenses.