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

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