Q4 Survey of professional forecasters was released Monday. Growth is expected to accelerate without the yield curve inverting and triggering Sam’s rule.
1. GDP:
figure 1: GDP report (bold black), GDPNow for 11/8 (blue square), New York Fed live forecast as of 11/10 (green inverted triangle), St. Louis Fed news live forecast (brown triangle), Wall Street Daily survey average (bold dark red), median SPF (light blue), all in billions Ch. 2017$, SAAR. Level calculated based on pre-released GDP data. Note the logarithmic scale. Source: BEA Q3 2023 Advances, Federal Reserve Bank of Atlanta, Fed, Federal Reserve Bank of St. Louis via FREDWall Street Journal, Federal Reserve Bank of Philadelphia SPFand the author’s calculations.
The path to unemployment can be explained in terms of Sam’s rule.
figure 2: Sahm’s rule instant metric in % (bold black), and predicted SPF metric (light blue). Quarterly forecast figures are quadratically interpolated to monthly. The red dashed line is the 0.50% threshold. Source: FRED, Philadelphia Fed SPF, and author’s calculations.
This suggests that Sam’s rule triggers in July, although the interpolation procedure makes precise month timing tricky.
Interest rate forecasts are for a peak in the fourth quarter of 2023.
image 3: Three-month Treasury yields (bold dark red), three-month Treasury yield forecasts (red), 10-year Treasury yields (dark blue bold), and 10-year Treasury yield forecasts (light blue ), all expressed in %. Source: Treasury through FRED and Philadelphia Fed SPF.
For Q4 2023, the 10-year forecast is 4.6%, compared with the 3.9% forecast in the last survey (August). Peak rates are postponed from the third quarter of 2023 to the fourth quarter of 2023.
