Finding SPF Percentiles Closest to Greenbook

To find forecasts that are closest to Greenbook forecast from the Survey of Professional Forecasters, this paper looks for SPF cross-sectional percentile forecasts that are not encompassed by Greenbook forecast under Greenbook's loss preference, which exhibits time-varying asymmetry. To evaluate SPF percentile forecasts under Greenbook's loss function, we introduce the forecast encompassing test for the asymmetric least square regression of conditional expectiles. From the analysis of the U.S. quarterly real output and inflation forecasts over the past four decades, we find that almost all SPF percentiles are encompassed by Greenbook forecast in full data period. However there is evidence in sub-periods that many SPF percentiles are not encompassed by Greenbook. Among those not-encompassed SPF percentiles, the best SPF percentile closest to Greenbook for real output growth forecast is near the median, while the best SPF percentile for inflation forecast is far below the median in the left tail of the SPF cross-sectional distribution.