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New Measures for Inflation Uncertainty and Disagreement from Treasury Auctions: Alternative to Surveys

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  • Mustafa Haluk Güler
  • Tandoğan Polat

Abstract

In this article, we propose a novel methodology to construct new uncertainty and disagreement measures for the long-term inflation rate with the use of micro data of Treasury auctions. We employ individual bids submitted in Treasury auctions for nominal and inflation indexed bonds. We argue that these newly formed indicators do not have the problems associated with the survey and market-based uncertainty and disagreement measures. We also focus on the interactions of our proposed measures for inflation rate by comparing the measures commonly used in the literature. The findings of this article are believed to enhance the effectiveness of policy-making by introducing new proxies for crucial economic variables and also by providing the opportunity for other emerging economies with inadequate surveys to construct historical uncertainty and disagreement measures for inflation rates.

Suggested Citation

  • Mustafa Haluk Güler & Tandoğan Polat, 2018. "New Measures for Inflation Uncertainty and Disagreement from Treasury Auctions: Alternative to Surveys," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 881-900, March.
    • Handle: RePEc:mes:emfitr:v:54:y:2018:i:4:p:881-900
    DOI: 10.1080/1540496X.2016.1268527
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    Cited by:

    1. Jarko Fidrmuc & Katarína Danišková, 2020. "Meta-Analysis of the New Keynesian Phillips Curve in Developed and Emerging Economies," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(1), pages 10-31, January.

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