eprintid: 34995
rev_number: 17
eprint_status: archive
userid: 3114
dir: disk0/00/03/49/95
datestamp: 2024-06-25 10:51:45
lastmod: 2024-06-25 10:52:01
status_changed: 2024-06-25 10:51:45
type: workingPaper
metadata_visibility: show
creators_name: Schick, Manuel
title: Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters
subjects: ddc-330
divisions: i-181000
keywords: Growth-at-Risk, GARCH, 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. While there is strong time variation in both the lower and upper quantiles of the GDP growth distribution, integrating skewness and fat tails into the model does not improve forecasting accuracy. By accounting for changes in the conditional mean of the GDP growth distribution over time, these findings highlight the value of SPF consensus projections for GaR nowcasting.
date: 2024
publisher: Universität
id_scheme: DOI
id_number: 10.11588/heidok.00034995
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0750
own_urn: urn:nbn:de:bsz:16-heidok-349955
language: eng
bibsort: SCHICKMANUREALTIMENO20240610
full_text_status: public
series: AWI Discussion Paper Series
volume: 0750
place_of_pub: Heidelberg
pages: 53
citation:   Schick, Manuel  (2024) Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/34995/7/Schick_dp750_2024.pdf