Survey-Based Nowcasting of US Growth: A Real-Time Forecast Comparison Over More than 40 Years
22 Pages Posted: 20 Aug 2012
Date Written: July 20, 2012
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-of-sample 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.
Keywords: US, business cycle, PMI, forecasting, real time data
JEL Classification: E37, E47, C22, C53
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