Economic surveys are very popular these days and for a good reason. They tell us how the folks being surveyed—professional forecasters, households, firm managers—feel about the economy. So, for instance, the New York Fed’s Survey of Consumer Expectations (SCE) website displays an inflation uncertainty measure that tells us households are more uncertain about inflation than they were pre-COVID, but a bit less than they were a few months ago. The Philadelphia Fed’s Survey of Professional Forecasters (SPF) tells us that forecasters believed last May that there was a lower risk of negative 2024 real GDP growth than there was last February. The question addressed in this post is: Does this information actually have any predictive content? Specifically, I will focus on the SPF and ask: When professional forecasters indicate that their uncertainty about future output or inflation is higher, does that mean that output or inflation is actually becoming more uncertain, in the sense that the SPF will have a harder time predicting these variables?
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