Inflation forecast uncertainty

Sökning: L773:0014 2921 > Inflation forecast ...

Giordani, PaoloStockholm School of Economics,Handelshögskolan i Stockholm (författare)

LIBRIS-ID:oai:hhs.se:1155046550006056
https://research.hhs.se/esploro/outputs/journalArticle/Inflation-forecast-uncertainty/991001480315106056URI
https://doi.org/10.1016/S0014-2921(02)00236-2DOI

Included in thesis: 1. Essays in monetary economics and applied econometrics
We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-2001. Three popular measures of uncertainty built from survey data are analyzed in the context of models for forecasting and asset pricing, and improved estimation methods are suggested. Popular time series models are evaluated for their ability to reproduce survey measures of uncertainty. The results show that disagreement is a better proxy of inflation uncertainty than what previous literature has indicated, and that forecasters underestimate inflation uncertainty. We obtain similar results for output growth uncertainty. (C) 2002 Elsevier B.V. All rights reserved.

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