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Uncertainty of household inflation expectations: Reconciling point and density forecasts

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  • Zhao, Yongchen

Abstract

We examine measures of uncertainty of household inflation expectations derived from matched point and density forecasts that are “reconciled”, where the mean (or the median) of the densities are matched to the point forecasts using exponential tilting.

Suggested Citation

  • Zhao, Yongchen, 2024. "Uncertainty of household inflation expectations: Reconciling point and density forecasts," Economics Letters, Elsevier, vol. 234(C).
    • Handle: RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523005128
    DOI: 10.1016/j.econlet.2023.111486
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    Keywords

    Uncertainty measurement; Exponential tilting; Household survey; Consumer sentiment;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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