Survey-Based Nowcasting of US Growth: A Real-Time Forecast Comparison Over More than 40 Years

22 Pages Posted: 20 Aug 2012

See all articles by Antonello D'Agostino

Antonello D'Agostino

European Stability Mechanism; Central Bank and Financial Services Authority of Ireland - Economic Analysis and Research Department

Bernd Schnatz

European Central Bank (ECB)

Date Written: July 20, 2012

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-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

Suggested Citation

D'Agostino, Antonello and Schnatz, Bernd, Survey-Based Nowcasting of US Growth: A Real-Time Forecast Comparison Over More than 40 Years (July 20, 2012). ECB Working Paper No. 1455. Available at SSRN: https://ssrn.com/abstract=2114115

Antonello D'Agostino (Contact Author)

European Stability Mechanism ( email )

6a Circuit de la Foire Internationale
L-1347
Luxembourg

Central Bank and Financial Services Authority of Ireland - Economic Analysis and Research Department ( email )

Dame Street
P.O. Box 559
Dublin 2
Ireland

Bernd Schnatz

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
069-1344-6517 (Phone)

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