Philadelphia Fed Releases Measures of Forecast Dispersion for the Survey of Professional Forecasters> > >
On September 14, 2010, the Philadelphia Fed's Real-Time Data Research Center released measures of cross-sectional forecast dispersion for the Survey of Professional Forecasters (SPF). Cross-sectional forecast dispersion measures the degree of disagreement among the expectations of different forecasters. The release includes nearly 200 new macroeconomic time series of cross-sectional forecast dispersion. For example, the figure below shows the time path of the dispersion for the forecasts for the 10-year annual average CPI inflation. The measure of dispersion is the difference between the 75th percentile and the 25th percentile (the interquartile range) of the forecasts. The gray shaded bars indicate recessionary periods, as defined by the National Bureau of Economic Research. The time path on the chart displays a downward trend from 1992 to 2004 and an upward trend since 2005.
The dispersion data for selected SPF variables and the documentation explaining the organization of the files can be found on the cross-sectional forecast dispersion page.
Return to the main page of the Real-Time Data Research Center.