Inflation Forecast Uncertainty

Preprint
Publisher Website
Google Scholar
  • 1 January 2000
    • preprint
      • Published in RePEc
Abstract
We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-1999. Three popular methods of estimating uncertainty from survey data are analysed in the context of models for forecasting and asset pricing. We find that inflation uncertainty fluctuates over time in a way that traditional time series models fail to capture. Instead, uncertainty is highly correlated with the level of inflation, in particular with recent positive inflation surprises. We also find that disagreement among forecasters increases with the inflation rate and causes above-average fluctuations in individual uncertainty.
All Related Versions

This publication has 0 references indexed in Scilit: