Academic Bibliography

The following list contains academic articles that either discuss or use the data generated by the Survey of Professional Forecasters (SPF). This survey was started by Victor Zarnowitz at the National Bureau of Economic Research (NBER) and the staffs at the NBER and the American Statistical Association (ASA). The survey was commonly referred to as the ASA-NBER Survey in the academic literature. The name was changed when the Federal Reserve Bank of Philadelphia took over responsibility for the survey. Good background articles on the early years of the survey as well as the Federal Reserve Bank of Philadelphia’s current role are contained in Zarnowitz (1968) and Croushore (1993).

The Survey of Professional Forecasters is just one of the time series used in empirical research on the formation of macroeconomic expectations. Other important series are the Livingston Survey, also conducted by the Federal Reserve Bank of Philadelphia, and the University of Michigan’s Survey of Consumers. A page similar to this one and related to research that uses the Livingston Survey is also available.

The following bibliography consists of all papers we know of that use SPF data. Any help with this page would be greatly appreciated. All correspondence and questions can be directed to PHIL.SPF@phil.frb.org.

Sources using data from the Survey of Professional Forecasters include:

Ang, Andrew, Geert Bekaert, and Min Wei. "Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better?," Journal of Monetary Economics 54 (2007), pp. 1163 - 1212.

Baghestani, H. "Federal Reserve vs. Private Information: Who Is the Best Unemployment Rate Predictor?," Journal of Policy Modeling 30 (2008), pp. 101-110.

Baghestani, H. "Federal Reserve vs. Private Forecasts of Real Net Exports." Economics Letters 91 (2006), pp. 349-353.

Baghestani, H. "An Evaluation of the Professional Forecasts of U.S. Long-term Interest Rates." Review of Financial Economics 15 (2006), pp. 177-191.

Baghestani, Hamid. "Evaluating Multiperiod Survey Forecasts of Real Net Exports," Economic Letters 44 (1994), pp. 267-72.

Baghestani, Hamid M., and Amin M. Kianian. "On the Rationality of US Macroeconomic Forecasts: Evidence from a Panel of Professional Forecasters," Applied Economics 25 (1993), pp. 869-78.

Ball, Laurence, and Dean Croushore. "Expectations and the Effects of Monetary Policy," Federal Reserve Bank of Philadelphia Working Paper 98-13, June 1998, National Bureau of Economic Research Working Paper 5344, November 1995.

Bonham, Carl, and Richard H. Cohen, "To Aggregate, Pool, or Neither: Testing the Rational Expectations Hypothesis Using Survey Forecasts," Journal of Business, Economics, and Statistics 19, no. 3 (July 2001), pp. 278-91.

Bonham, Carl, and Richard H. Cohen, "Rational Consensus Forecasts?," Journal of Economic Perspectives 14, no. 4 (Fall 2000), pp. 228-30.

Bonham, Carl, and Richard H. Cohen, "Testing the Rationality of Price Forecasts: Comment," American Economic Review 85, no. 1 (March 1995), pp. 284-89.

Bonham, Carl, and Richard H. Cohen, "The Rationality of Price Level Forecasts: Correct Tests Using Micro Data," Working Paper 92-4, Department of Economics, University of Hawaii at Manoa (1992).

Bonham, Carl, and Douglas C. Dacy, "In Search of a Strictly Rational Forecast," Review of Economics and Statistics 73, no. 2 (May 1991), pp. 245-53.

Braun, Phillip A., and Ilan Yaniv. "A Case Study of Expert Judgment: Economists’ Probabilities Versus Base Rate Model Forecasts," Journal of Behavioral Decision Making 5 (1992), pp. 217-31.

Capistrán, Carlos, and Allan Timmermann. "Forecast Combination with Entry and Exit of Experts." Journal of Business and Economic Statistics 27 (October 2009), pp. 428-440.

Capistrán, Carlos and Allan Timmermann, "Disagreement and Biases in Inflation Expectations," Journal of Money, Credit, and Banking 41 (2009), pp. 365-396.

Capistrán, Carlos, "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?" Journal of Monetary Economics 55 (2008), pp. 1415-1427.

Choy, Keen Meng, Kenneth Leong, and Anthony S. Tay. "Non-fundamental Expectations and Economic Fluctuations: Evidence from Professional Forecasts," Journal of Macroeconomics 28 (2006), pp. 446 - 460.

Croushore, Dean. "Evaluating Inflation Forecasts," Federal Reserve Bank of Philadelphia Working Paper 98-14, June 1998.

Croushore, Dean. "Inflation Forecasts: How Good Are They?" Federal Reserve Bank of Philadelphia Business Review (May/June 1996), pp. 15-25.

Croushore, Dean. "Introducing: The Survey of Professional Forecasters," Federal Reserve Bank of Philadelphia Business Review (November/December 1993), pp. 3-13.

Davies, Antony. "A Framework for Decomposing Shocks and Measuring Volatilities Derived from Multi-Dimensional Panel Data of Survey Forecasts," International Journal of Forecasting 22, no. 2 (April/June 2006), pp. 373-393.

Davies, Antony, and Kajal Lahiri, "Rational Expectations Revisited," in Analysis of Panels and Limited Dependent Variable Models, Cheng Hsiao, M. Hashem Pesaran, Kajal Lahiri, and Lung Fei Lee, eds., Cambridge University Press, 1999.

Diebold, Francis X., Todd A. Gunther, and Anthony S. Tay. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review 39 (1998), pp. 863-83.

Diebold, Francis X., Anthony S. Tay, and Kenneth F. Wallis. "Evaluating Density Forecasts: The Survey of Professional Forecasters," chap. 3 in Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger, Robert F. Engle and Halbert White, eds., Oxford: Oxford University Press, 1999.

Dua, Pami, and Subash C. Ray. "ARIMA Models of the Price Level: An Assessment of the Multilevel Adaptive Learning Process in the USA," Journal of Forecasting 11 (1992), pp. 507-16.

Engelberg, Joseph, Charles F. Manski, and Jared Williams. "Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters," Journal of Business and Economic Statistics, forthcoming (2007 or 2008).

Fair, Ray C. "Analyzing Macroeconomic Forecastability," Unpublished manuscript, Yale University, May 2009.

Fair, Ray C., and Robert J. Shiller. "The Informational Content of Ex Ante Forecasts," Review of Economics and Statistics 71 (1989), pp. 325-31.

Giordani, Paolo, and Paul SÃ¶derlind, "Inflation Forecast Uncertainty," European Economic Review 47 (2003), pp. 1037-59.

Graham, John R. "Is a Group of Economists Better Than One? Than None?" Journal of Business 69 (1996), pp. 193-232.

Hafer, R. W., and Scott E. Hein. "On the Accuracy of Time-Series, Interest Rate, and Survey Forecasts of Inflation," Journal of Business 58 (1985), pp. 377-98.

Jeong, Jinook, and G. S. Maddala. "Testing the Rationality of Survey Data Using the Weighted Double-Bootstrapped Method of Moments," Review of Economics and Statistics 78 (1996), pp. 296-302.

Jones, Charles M. "Aggregate Stock Returns and Revisions in Expected Cash Flows," Manuscript, Department of Economics, Princeton University (1995).

Keane, Michael P., and David E. Runkle. "Testing the Rationality of Price Forecasts: New Evidence From Panel Data," American Economic Review 80 (1990), pp. 714-35.

Keane, Michael P., and David E. Runkle. "Are Economic Forecasts Rational?" Federal Reserve Bank of Minneapolis Quarterly Review (Spring 1989), pp. 26-33.

Kolasa, Marcin, Michal Rubaszek, and Pawel Skrzypczynski. "Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test," Working Paper 1110, November 2009, European Central Bank.

Lahiri, Kajal and T. S. Chun. "Some Tests for Unbiasedness in the Long Run Using Survey Data," International Economic Journal 3 (Summer 1989), pp. 27-42.

Lahiri, Kajal, Christie Teigland, and Mark Zaporowski. "Interest Rates and the Subjective Probability Distribution of Inflation Forecasts," Journal of Money, Credit, and Banking 20 (1988), 233-48.

Lahiri, Kajal, and Christie Teigland. "On the Normality of Probability Distributions of Inflation and GNP Forecasts," International Journal of Forecasting 3 (1987), pp. 269-79.

Lahiri, Kajal, and Christie Teigland. "On the Rationality of ASA-NBER Survey Data on Expectations," in Proceedings of the Business and Economic Statistics Section (American Statistical Association, August 16-19, 1982), pp. 448-51.

McNees, Stephen K., and Lauren K. Fine. "Diversity, Uncertainty, and Accuracy of Inflation Forecasts," Federal Reserve Bank of Boston New England Economic Review (July/August 1994), pp. 34-44.

McNees, Stephen K. "How Large Are Economic Forecast Errors?" Federal Reserve Bank of Boston New England Economic Review (July/August 1992), pp. 25-41.

Neumark, David, and Jonathan S. Leonard. "Inflation Expectations and the Structural Shift in Aggregate Labor-Cost Determination in the 1980's," Journal of Money, Credit, and Banking 25 (1993), pp. 786-800.

Pennacchi, George G. "Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data," Review of Financial Studies 4 (1991), pp. 53-86.

Rhim, Jong C., Mohammed F. Khayum, and Timothy J. Schibik. "Composite Forecasts of Inflation: An Improvement in Forecasting Performance," Journal of Economics and Finance 18 (1994), pp. 275-86.

Rubaszek, Michal, and Skrzypczynski, Pawel. "On the Forecasting Performance of a Small-Scale DSGE Model," International Journal of Forecasting 24 (2008), pp. 498-512.

Rudin, Jeremy R. "What Do Private Agents Believe About the Time Series Properties of GNP?" Canadian Journal of Economics 25 (May 1992), pp. 369-91.

Sims, Christopher A. "The Role of Models and Probabilities in the Monetary Policy Process, "Brookings Papers on Economic Activity, 2002(2), pp. 1 - 62.

Smith, Gregor W. and James Yetman. "The Curse of Irving Fisher (Professional Forecasters' Version)," Queen's University Economics Department Working Paper No. 1144, November 2007.

Su, Vincent, and Josephine Su. "An Evaluation of ASA/NBER Business Outlook Survey Forecasts," Explorations in Economic Research 2 (1975), pp. 588-618.

Throop, Adrian W. "An Evaluation of Alternative Measures of Expected Inflation," Federal Reserve Bank of San Francisco Economic Review (Summer 1988), pp. 27-43.

Wallis, Kenneth F. "Chi-Squared Tests of Interval and Density Forecasts, and the Bank of England's Fan Charts, International Journal of Forecasting 19 (2003), pp. 165-75.

Zarnowitz, Victor, and Phillip Braun. "Twenty-Two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance," in James H. Stock and Mark W. Watson, eds., Business Cycles, Indicators, and Forecasting. Chicago: University of Chicago Press, 1993, pp. 11-94.

Zarnowitz, Victor, and Louis A. Lambros. "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy 95 (1987), pp. 591-621

Zarnowitz, Victor. "Rational Expectations and Macroeconomic Forecasts," Journal of Business & Economic Statistics 3 (October 1985), pp. 293-311.

Zarnowitz, Victor. "An Analysis of Annual and Multiperiod Quarterly Forecasts of Aggregate Income, Output, and the Price Level," Journal of Business 52 (1979), pp. 1-33.

Zarnowitz, Victor. "The New ASA-NBER Survey of Forecasts by Economic Statisticians," in A Supplement to National Bureau Report 4 (National Bureau of Economic Research, December, 1968), pp. 1-8.

Last update: August 27, 2010