From the Michigan consumer survey and the Survey of Professional Forecasters:

Figure 1: Michigan 12 month ahead forecast error (blue), and Survey of Professional Forecasters median forecast error (red), in percentage points. NBER defined peak-to-trough recession dates shaded gray. Source: BLS via FRED, University of Michigan via FRED and Philadelphia Fed, NBER, and author’s calculations. 

Since these are 12 month ahead forecasts sampled at a higher frequency than the horizon — monthly (for MIchigan) or quarterly (for SPF) — these errors are based on overlapping forecasts.

To see nonoverlapping forecasts, I sampled at May of each year:

Figure 2: Michigan 12 month ahead forecast error (blue), and Survey of Professional Forecasters median forecast error (red), in percentage points, in May. NBER defined peak-to-trough recession dates shaded gray. Source: BLS via FRED, University of Michigan via FRED and Philadelphia Fed SPF, NBER, and author’s calculations. 

From 1986M05-2019M05, SPF forecasts

Keep reading this article on Econbrowser Blog - James Hamilton & Menzie Chinn.

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