Survey of Professional Forecasters explained

The Survey of Professional Forecasters (SPF) is a quarterly survey of macroeconomic forecasts for the economy of the United States issued by the Federal Reserve Bank of Philadelphia. It is the oldest such survey in the United States.

The survey includes an "anxious index" that estimates the probability of a decline in real GDP.^[1]

History

The survey began in 1968 and was conducted by the American Statistical Association (ASA) and the National Bureau of Economic Research (NBER). The Federal Reserve Bank of Philadelphia took over the survey in 1990.^{[2] [3]} In its early days (prior to the takeover by the Federal Reserve Bank of Philadelphia) the survey was often referred to in the academic literature as the ASA-NBER survey.

In May 2008, it was announced that SPF would be adding an industry classification variable for its survey respondents, so that researchers could more easily determine how people's forecasts related to the industry they were from.^[4]

Variables

The Survey of Professional Forecasters includes variables in the following broad categories:^[5]

• U.S. business indicators
• Real GDP and its components
• CPI and PCE inflation
• Long-term inflation forecasts
• Additional long-term forecasts
• Equilibrium unemployment
• Probability on ranges (for GDP, inflation, and unemployment measures)
• Anxious Index
• Implied forecasts

Reception

SPF has been used in academic research on forecast accuracy and forecast bias.^{[6] [7] [8]}

A 1997 analysis of density forecasts of inflation made in the SPF finds: "The probability of a large negative inflation shock is generally overestimated, and in more recent years the probability of a large shock of either sign is overestimated. Inflation surprises are serially correlated, although agents eventually adapt. Expectations of low inflation are associated with reduced uncertainty. The results suggest several promising directions for future research."^[9]

Bias and Errors

SPF keeps a record of the bias and error in its own past forecasts online.^[10] Their forecasting track record and the implications of their forecasts have been discussed on business press and blogs, including Forbes and the Wall Street Journal.^{[11] [12] [13] [14]}

Studies have shown that professional survey forecasts can be biased, such as displaying pessimism or overconfidence.^[15] Additionally, heterogeneity in the survey forecasts at the individual level can be linked to the experience and education of the surveyed professionals.^[16]

See also

• Economic forecasting
• Greenbook: The Federal Reserve Bank of Philadelphia makes available the Greenbook projections data set in Microsoft Excel format. This includes only four quarterly Greenbook projections in order to maximize the correspondence and comparability with the Survey of Professional Forecasters.^[17]
• ECB Survey of Professional Forecasters, a similar survey conducted by the European Central Bank starting 1999.
• Blue Chip Economic Indicators
• Western Blue Chip Economic Forecast
• Consensus Economics: Surveys of US and International Economic Forecasts
• Livingston Survey

References

1. Web site: The Anxious Index. Federal Reserve Bank of Philadelphia.
2. Web site: Survey of Professional Forecasters. Federal Reserve Bank of Philadelphia. April 13, 2014.
3. Web site: Introducing: The Survey of Professional Forecasters. Croushure. Dean. November–December 1993. Business Review.
4. Web site: Introducing: An Industry Classification for the Survey of Professional Forecasters. Chew. John. Price. Calvin. May 2008. April 13, 2014.
5. Web site: Historical Data Files for the Survey of Professional Forecasters. August 10, 2012. April 13, 2014. Federal Reserve Bank of Philadelphia.
6. Web site: Academic Bibliography. Federal Reserve Bank of Philadelphia. April 13, 2014.
7. Web site: An evaluation of the Survey of Professional Forecasters probability distributions of expected inflation and output growth.. Clements. Michael. November 22, 2002. April 13, 2014.
8. Differential Interpretation in the Survey of Professional Forecasters. Manzan. Sebastiano. August 2011. 10.1111/j.1538-4616.2011.00404.x. Journal of Money, Credit and Banking. 43. 5. 993–1017. 10.1.1.592.2574.
9. Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters . Francis X. . Diebold . Anthony S. . Tay . Kenneth F. . Wallis . NBER Working Paper No. 6228 . October 1997 . 10.3386/w6228 . 5242186 . free .
10. Web site: Forecast Error Statistics for the Survey of Professional Forecasters. Federal Reserve Bank of Philadelphia. April 13, 2014.
11. Economic Assumptions For Your 2014 Business Plan. Conerly. Bill. September 2, 2013. April 21, 2014. Forbes.
12. News: Economists in Philly Fed Survey More Pessimistic. Derby. Michael. August 13, 2010. April 13, 2014. Wall Street Journal.
13. Web site: The Accuracy of Macroeconomics Forecasts – Survey of Professional Forecasters. Jones. Clive. Business Forecasting. February 25, 2014. April 13, 2014.
14. Web site: Philadelphia Fed – 4th Quarter 2013 Survey Of Professional Forecasters. EconomicGreenfield. Kavadas. Ted. November 26, 2013. April 13, 2014.
15. Are Macroeconomic Forecasters Optimists or Pessimists? A Reassessment of Survey Based Forecasts. Huang. Rong. Pilbeam. Keith. Pouliot. William. May 2022. 10.1016/j.jebo.2022.03.012. Journal of Economic Behavior and Organization. 197. 706-724.
16. Do Expert Experience and Characteristics Affect Inflation Forecasts?. Benchimol. Jonathan. El-Shagi. Makram. Saadon. Yossi. September 2022. 10.1016/j.jebo.2022.06.025. Journal of Economic Behavior and Organization. 201. 205-226.
17. Web site: Philadelphia Fed's Greenbook Data Set. Federal Reserve Bank of Philadelphia. April 18, 2014.