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.
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- Robert Rich & Joseph Tracy, 2000.
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- 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.
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- 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.
- Stephen G. Cecchetti & Robert W. Rich, 1999.
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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.
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