Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/301190 
Authors: 
Year of Publication: 
2024
Series/Report no.: 
AWI Discussion Paper Series No. 750
Publisher: 
University of Heidelberg, Department of Economics, Heidelberg
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.
Subjects: 
Growth-at-Risk
GARCH
Survey of Professional Forecasters
JEL: 
C22
C52
C53
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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