The Advantages of Probabilistic Survey Questions IT Forum and RCEA - - PowerPoint PPT Presentation

▶
the advantages of probabilistic survey questions
SMART_READER_LITE
LIVE PREVIEW

The Advantages of Probabilistic Survey Questions IT Forum and RCEA - - PowerPoint PPT Presentation

Oct 15, 2023 16 likes •180 views

The Advantages of Probabilistic Survey Questions IT Forum and RCEA Bayesian Workshop Keynote Address Simon M. Potter May 19, 2016 Federal Reserve Bank of New York The views presented here are those of the author and do not necessarily reflect

slide-1
SLIDE 1

IT Forum and RCEA Bayesian Workshop Keynote Address

The Advantages of Probabilistic Survey Questions

The views presented here are those of the author and do not necessarily reflect those of the Federal Reserve Bank of New York, or the Federal Reserve System

Simon M. Potter Federal Reserve Bank of New York May 19, 2016

slide-2
SLIDE 2

2

  • A nationally representative, monthly internet-based survey of a rotating

panel of ~ 1,300 household heads.

  • Respondents on the panel for up to 12 months.
  • The survey has a core monthly module on expectations about macro-

economic and household level variables.

  • Inflation, earnings growth, change in home prices and individual spending

items, HH income growth, HH spending growth, taxes, government debt, credit access, job search.

  • In addition, special monthly ad-hoc questions and annual surveys on

special topics.

  • Rotating ad-hocs: Credit access; Labor Market; Spending; Floating

(insurance; ACA; Gas prices).

  • Annual surveys: Housing; Labor Market; Saving and Assets.

Survey of Consumer Expectations

Slide

slide-3
SLIDE 3

3

In your view, what would you say is the percent chance that, over the 12- month period between May 2018 to May 2019, … the rate of inflation will be 12% or higher ______ the rate of inflation will be between 8% and 12% ______ the rate of inflation will be between 4% and 8% ______ the rate of inflation will be between 2% and 4% ______ the rate of inflation will be between 0% and 2% ______ the rate of deflation will be between 0% and 2% ______ the rate of deflation will be between 2% and 4% ______ the rate of deflation will be between 4% and 8% ______ the rate of deflation will be between 8% and 12% ______ the rate of deflation will be 12% or more ______ % Total ______

Elicitation of Probabilistic Beliefs

Slide

slide-4
SLIDE 4

4

Monthly Survey Public Release

http://www.newyorkfed.org/microeconomics/sce/

Slide

slide-5
SLIDE 5

5

𝐽𝑅𝑆1 𝜈1 𝜈𝑜 𝐽𝑅𝑆𝑜 Median across respondents: (𝜈𝐵, 𝐽𝑅𝑆𝐵)

Summarizing Density Forecasts

Slide

slide-6
SLIDE 6

6

Expected Three-Year Ahead Inflation Rate

Slide

2.0 2.2 2.4 2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16

%

Expected Three-Year Ahead Inflation Rate

Source: Survey of Consumer Expectations

slide-7
SLIDE 7

7

Expected Three-Year Ahead Inflation Rates, by Education

1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16

%

Expected 3-Year Ahead Inflation Rates, by Education

High School or Less Some College BA or Higher

Source: Survey of Consumer Expectations

Slide

slide-8
SLIDE 8

8

Three-Year Ahead Inflation Uncertainty, by Education

1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16

%

3-Year Ahead Inflation Uncertainty, by Education

High School or Less Some College BA or Higher

Source: Survey of Consumer Expectations

Slide

slide-9
SLIDE 9

9

Three-Year Inflation Expectations Cumulative Probability

Three-Year Inflation Expectations Median September 2015 Median January 2016 Difference

Repeat Respondents (Sept 2015 and Jan 2016) 2.98 2.45

  • 0.53

Slide

0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

  • 2
  • 1

1 2 3 4 5 6 7 8 Cumulative Probability 3-Year Ahead Expected Inflation Rate (%)

Three-Year Inflation Expecations

September 2015 January 2016

slide-10
SLIDE 10

10

Point and Density Forecasts for the Policy Rate

0.1 0.2 0.3 0.4 0.5 0.6 0.7 1 2 3 4 5

  • prob. per

pctage point

Year-End 2017 Target Federal Funds Rate/Range (December '15 Survey)

PDF PDF-implied Mean Modal path

Source: Desk Surveys

0.1 0.2 0.3 0.4 0.5 0.6 1 2 3 4 5

  • prob. per

pctage point

Year-End 2017 Target Federal Funds Rate/Range (January '16 Survey)

PDF PDF-implied Mean Modal Path

Source: Desk Surveys

0.1 0.2 0.3 0.4 0.5 0.6 0.7 1 2 3 4 5

  • prob. per

pctage point

Year-End 2018 Target Federal Funds Rate/Range (December '15 Survey)

PDF PDF-implied Mean Modal path

Source: Desk Surveys

0.1 0.2 0.3 0.4 0.5 0.6 1 2 3 4 5

  • prob. per

pctage point

Year-End 2018 Target Federal Funds Rate/Range (January '16 Survey)

PDF PDF-implied Mean Modal Path

Source: Desk Surveys

0.1 0.2 0.3 0.4 0.5 0.6

  • 1

1 2 3 4 5

  • prob. per

pctage point

Year-End 2017 Target Fed Funds Rate/Range (March '16 Survey)

PDF PDF-implied Mean Modal Path

Source: Desk Surveys

0.1 0.2 0.3 0.4 0.5 0.6

  • 1

1 2 3 4 5

  • prob. per

pctage point

Year-End 2018 Target Fed Funds Rate/Range (March '16 Survey)

PDF PDF-implied Mean Modal Path

Source: Desk Surveys

Slide

slide-11
SLIDE 11

11

Probability Distribution for Change in Year-end 2014 SOMA Portfolio relative to June 2013 Level

0% 10% 20% 30% 40% 50% 60% < -707

  • 707

to 207

  • 207

to 293 293 to 793 793 to 1293 1293 to 1793 > 1793

prob.

Change in SOMA Portfolio Size ($ billions) by YE 2014 Conditional on < 7.3% Unemployment at YE 2013

Conditional: Less than 7.3% Unconditional

Source: Survey of Primary Dealers

0% 10% 20% 30% 40% 50% 60% < -707

  • 707

to 207

  • 207

to 293 293 to 793 793 to 1293 1293 to 1793 > 1793

prob.

Change in SOMA Portfolio Size ($ billions) at YE 2014 Conditional on 7.3-7.5% Unemployment at YE 2013

Conditional: Between 7.3 and 7.5% Unconditional

Source: Survey of Primary Dealers

0% 10% 20% 30% 40% 50% 60% < -707

  • 707

to 207

  • 207

to 293 293 to 793 793 to 1293 1293 to 1793 > 1793

prob.

Change in SOMA Portfolio Size ($ billions) at YE 2014 Conditional on > 7.5% Unemployment at YE 2013

Conditional: Greater than 7.5% Unconditional

Source: Survey of Primary Dealers

Slide

slide-12
SLIDE 12

12

Market-Implied Rates, Modal Paths, Risk Premia and PDF-Implied Mean Rates

0.5 1 1.5 2 2.5 3 Dec-15 Jan-16 Mar-16

%

Market-Implied Federal Funds Rates

YE 2016 YE 2017 YE 2018

Source: Bloomberg

0.5 1 1.5 2 2.5 3 Dec-15 Jan-16 Mar-16

%

Survey PDF-Implied Mean Federal Funds Rates

YE 2016 YE 2017 YE 2018

Source: Desk Surveys

  • 1.2
  • 1
  • 0.8
  • 0.6
  • 0.4
  • 0.2

Dec-15 Jan-16 Mar-16

%

Model Estimates of Federal Funds Risk Premia

YE 2016 YE 2017 YE 2018

Source: Bloomberg, Desk Calculations

0.5 1 1.5 2 2.5 3 Dec-15 Jan-16 Mar-16

%

Modal Path Estimates of Federal Funds Rates

YE 2016 YE 2017 YE 2018

Source: Bloomberg, Desk Calculations

Slide

slide-13
SLIDE 13

13

Federal Funds Rate Survey Probability Distributions versus Tilted Distributions

0% 10% 20% 30% 40% 50%

  • 1

1 2 3 4 5

prob.

Year-End 2018 FF PDF (December Survey)

Federal Funds Rates (%)

  • 1

1 2 3 4 5

Year-End 2018 FF PDF (January Survey)

Federal Funds Rates (%)

Slide

slide-14
SLIDE 14

14

KLIC Distributions Across Survey Respondents

5 10 15 20 25 30 35 0.5 1 1.5

count

Distance from Original Survey by Respondent (Year-End 2018)

January Survey December Survey

Source: Desk Surveys

KLIC distance

Slide

5 10 15 20 25 30 35 0.5 1 1.5

count

Distance from Original Survey by Respondent (Year-End 2018)

March Survey December Survey

Source: Desk Surveys

KLIC distance

slide-15
SLIDE 15

15

Distribution of Probability of Returning to ZLB Across Survey Respondents

2 4 6 8 10 12 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50%

count

Probability of Returning to ZLB Dispersion Among Respondents

January March

Source: Desk Surveys

Slide

slide-16
SLIDE 16

16

Individual Density Forecasts for Year-end 2017 Federal Funds Rate for March 2016 Survey Respondents

5 10 15 20 25 30

  • 0.5

0.5 1 1.5 2 2.5 3 3.5 4 4.5 count

Modal Path Estimates for Year-end 2017 (March Survey)

Source: Desk Surveys

Slide