Challenge: The U.S. Department of the Treasury (Treasury) Office of the Fiscal Assistant Secretary (OFAS) is responsible for managing the government's daily cash position. Through the Office of Fiscal Projections (OFP), OFAS also produces the short-term cash and debt forecasts used to determine the size and timing of the government's financing operations. The forecasting abilities within the OFAS are limited to a one-year time horizon. OFAS requires a long-term econometric forecast for extended cash and debt management, including determining the Treasury’s long-term financing needs.
Solution: Summit developed separate econometric models for receipts, outlays, and other cash and financing line items to collectively determine a long-term cash and debt forecast. The developed suite of econometric forecasting models forecasts monthly cash receipts, outlays, and deficits over a period of 60 months to meet OFAS’ long-term forecasting needs, performs time series econometric and other model-driven analyses, incorporates monthly data updates to account for economic, programmatic, and legislative changes, includes confidence intervals for probabilistic scenarios, provides a user-friendly interface with graphics capabilities, and includes thorough forecast and technical documentation. Summit’s forecasting models apply advanced econometric techniques, such as ARMA/ARIMA, VAR Analysis, Spectral Analysis, Fourier Analysis, Cointegration/VECM and Impulse Indicator Saturation. Summit’s team updates the macroeconomic and legislative information contained in the forecasting model and formally delivers a monthly fiscal report to OFAS at the conclusion of each month.