OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

Article
 

Constructing a conditional GDP fan chart with an application to French business survey data You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3313021ec004.pdf
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Author(s):
Matthieu Cornec
11 June 2014
Pages:
19
Bibliographic information
No.:
9,
Volume:
2013,
Issue:
2
Pages:
109–127
http://dx.doi.org/10.1787/jbcma-2013-5jz417xzw931

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Interval confidence and density forecasts, notably in the form of "fan charts", are useful tools to describe the uncertainty inherent to any point forecast. However, the existing techniques suffer from several drawbacks. We propose a new method to represent uncertainty in realtime that is conditional upon the economic outlook, non-parametric and reproducible. Moreover, we build a Forecasting Risk Index associated with our fan chart to measure the intrinsic difficulty of the forecasting exercise. Using balances of opinion of different business surveys carried out by the French statistical institute INSEE, our GDP fan chart efficiently captures the growth stall during the crisis on a real-time basis. Our Forecasting Risk Index has increased substantially in this period of turbulence, showing signs of growing uncertainty.

Keywords: Density forecast, quantile regressions, business tendency surveys, fan charts

JEL classification: E32, E37, E66, C22

 
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