Nowcasting Growth-at-Risk using the Survey of Professional Forecasters

54 Pages Posted: 17 Jun 2024 Last revised: 26 Nov 2024

See all articles by Manuel Schick

Manuel Schick

Heidelberg University - Alfred Weber Institute for Economics; Heidelberg University - Faculty of Economics and Social Studies

Date Written: June 10, 2024

Abstract

This paper investigates nowcasting Growth-at-Risk (GaR) using consensus forecasts from the Survey of Professional Forecasters (SPF) in the US. Incorporating SPF consensus forecasts into the conditional mean of an AR-GARCH type model significantly enhances nowcasting accuracy for GaR and the conditional density of GDP growth. The findings reveal strong time variation in both the lower and upper quantiles of the GDP growth distribution, underscoring the value of SPF consensus projections for nowcasting tail risk.

Keywords: Growth-at-Risk, Density Forecasts, GARCH, Survey of Professional Forecasters

JEL Classification: C22, C52, C53

Suggested Citation

Schick, Manuel, Nowcasting Growth-at-Risk using the Survey of Professional Forecasters (June 10, 2024). Available at SSRN: https://ssrn.com/abstract=4859937 or http://dx.doi.org/10.2139/ssrn.4859937

Manuel Schick (Contact Author)

Heidelberg University - Alfred Weber Institute for Economics ( email )

Grabengasse 14
Heidelberg, D-69117
Germany

Heidelberg University - Faculty of Economics and Social Studies ( email )

Grabengasse 14
Heidelberg, D-69117
Germany

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