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Inflation Forecast Uncertainty

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  • Giordani, Paolo

    ()
    (Dept. of Economics, Stockholm School of Economics)

  • Soderlind, Paul

    ()
    (Dept. of Finance, Stockholm School of Economics)

Abstract

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.

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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 384.

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Length: 23 pages
Date of creation: 17 May 2000
Date of revision: 09 Oct 2000
Handle: RePEc:hhs:hastef:0384

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Keywords: survey data; Survey of Professional Forecasters; GDP growth; VAR; T-GARCH;

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References

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