Modelling uncertainty: A recursive VAR bootstrapping approach
This paper develops a recursive VAR bootstrapping approach to produce time series measures of nominal and real uncertainty. The method is applied to US data and results compared to measures based on the Survey of Professional Forecasters.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giordani, Paolo & Soderlind, Paul, 2003.
"Inflation forecast uncertainty,"
European Economic Review,
Elsevier, vol. 47(6), pages 1037-1059, December.
- Giordani, Paolo & Soderlind, Paul, 2000. "Inflation Forecast Uncertainty," SSE/EFI Working Paper Series in Economics and Finance 384, Stockholm School of Economics, revised 09 Oct 2000.
- Söderlind, Paul, 2000. "Inflation Forecast Uncertainty," CEPR Discussion Papers 2499, C.E.P.R. Discussion Papers.
- Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
- Robert Rich & Joseph Tracy, 2004. "Uncertainty and Labor Contract Durations," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 270-287, February.
- Robert W. Rich & Joseph Tracy, 2000. "Uncertainty and labor contract durations," Staff Reports 106, Federal Reserve Bank of New York.
- Robert Rich & Joseph Tracy, 2000. "Uncertainty and Labor Contract Durations," NBER Working Papers 7731, National Bureau of Economic Research, Inc.
- Cecchetti, Stephen G & Rich, Robert W, 2001. "Structural Estimates of the U.S. Sacrifice Ratio," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 416-427, October.
- Stephen G. Cecchetti & Robert W. Rich, 1999. "Structural estimates of the U.S. sacrifice ratio," Staff Reports 71, Federal Reserve Bank of New York.
- Robert W. Rich & Joseph Tracy, 2006. "The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts," Staff Reports 253, Federal Reserve Bank of New York. Full references (including those not matched with items on IDEAS)