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| Author: | Giordani, P. Söderlind, P. |
| Title: | Inflation forecast uncertainty |
| Journal: | European Economic Review
2003 : DEC, VOL. 47:6, p. 1037-1059 |
| Index terms: | Inflation Forecasting Models |
| Freeterms: | GDP |
| Language: | eng |
| Abstract: | The inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 19692001 is studied. 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. Similar results for output growth uncertainty are obtained. |
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