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Working Paper

Constructing Fan Charts from the Ragged Edge of SPF Forecasts

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.

Replication files are available at https://github.com/elmarmertens/ClarkGanicsMertensSPFfancharts.

Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.


Suggested Citation

Clark, Todd E., Gergely Ganics, and Elmar Mertens. 2024. “Constructing Fan Charts from the Ragged Edge of SPF Forecasts.” Federal Reserve Bank of Cleveland, Working Paper No. 22-36R. https://doi.org/10.26509/frbc-wp-202236r