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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Deutsche Bundesbank Discussion Paper No. 38/2024
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
We develop models that take point forecasts from the Survey of Professional Forecasters (SPF) as inputs and produce estimates of survey-consistent term structures of expectations and uncertainty at arbitrary forecast horizons. Our models combine fixed-horizon and fixed-event forecasts, accommodating time-varying horizons and availability of survey data, as well as potential inefficiencies in survey forecasts. The estimated term structures of SPF-consistent expectations are comparable in quality to the published, widely used short-horizon forecasts. Our estimates of time-varying forecast uncertainty reflect historical variations in realized errors of SPF point forecasts, and generate fan charts with reliable coverage rates.
Schlagwörter: 
Term structure of expectations
uncertainty
survey forecasts
fan charts
JEL: 
E37
C53
ISBN: 
978-3-98848-013-2
Dokumentart: 
Working Paper
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