Spreads versus professional forecasters as predictors of future output change

We examine whether real output forecasts obtained from the Survey of Professional Forecasters efficiently embody information in the term structure spread. To this end, we employ revised data as well as real‐time vintage data, and we also allow for the possible impact of asymmetric loss functions. Assuming quadratic loss, our results suggest that the term structure spread does contain information useful for forecasting not reflected in the survey forecasts, at least over the longest forecast horizon. However, if we allow agents' loss functions to become more negatively skewed with the forecast horizon, then we cannot reject the rationality of the survey forecasts.