Nowcasting Growth-at-Risk using the Survey of Professional Forecasters
54 Pages Posted: 17 Jun 2024 Last revised: 26 Nov 2024
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: Suggested Citation