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Inflation Forecast Uncertainty

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Author Info
Giordani, Paolo () (Dept. of Economics, Stockholm School of Economics)
Soderlind, Paul () (Dept. of Finance, Stockholm School of Economics)

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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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Publisher 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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Related research
Keywords: survey data Survey of Professional Forecasters GDP growth VAR T-GARCH

Other versions of this item:

Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation

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References listed on IDEAS
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    Other versions:
  3. Victor Zarnowitz & Louis A. Lambros, 1987. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Richard H. Thaler, 2000. "From Homo Economicus to Homo Sapiens," Journal of Economic Perspectives, American Economic Association, vol. 14(1), pages 133-141, Winter. [Downloadable!] (restricted)
  5. Makin, John H, 1982. "Anticipated Money, Inflation Uncertainty and Real Economic Activity," The Review of Economics and Statistics, MIT Press, vol. 64(1), pages 126-34, February. [Downloadable!] (restricted)
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  13. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September. [Downloadable!] (restricted)
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  15. Figlewski, Stephen, 1983. "Optimal Price Forecasting Using Survey Data," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 13-21, February. [Downloadable!] (restricted)
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    Other versions:
  21. Martin Evans & Paul Wachtel, 1993. "Inflation regimes and the sources of inflation uncertainty," Proceedings, Federal Reserve Bank of Cleveland, pages 475-520.
  22. John H. Makin, 1982. "Anticipated Money, Inflation Uncertainty, and Real Economic Activity," NBER Working Papers 0760, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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