Inflation and output growth uncertainty in individual survey expectations
This paper studies uncertainty using the ECB Survey of Professional Forecasters’ data. We consider both inflation and real GDP growth forecasts at the micro level and explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts and the median values of individual forecasters’ uncertainty, which are based on subjective probability distributions of survey respondents. Our analysis indicates that individual inflation uncertainty is closely related to the output growth uncertainty. In forming expectations, individual forecasters seem to behave according to an uncertainty-augmented hybrid specification of the New Keynesian Phillips curve. We also find evidence that inflation uncertainty has a negative impact on economic activity by decreasing output growth and increasing inflation and lowering the price sensitiveness of aggregate supply.
|Date of creation:||19 Dec 2012|
|Date of revision:|
|Publication status:||Forthcoming as Paloviita, Maritta and Matti Viren, 'Inflation and output growth uncertainty in individual survey expectations' in Empirica.|
|Contact details of provider:|| Postal: |
Web page: http://www.suomenpankki.fi/en/
More information through EDIRC
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.:
- Nicholas Bloom, 2009.
"The Impact of Uncertainty Shocks,"
Econometric Society, vol. 77(3), pages 623-685, 05.
- Gianna Boero & Jeremy Smith & KennethF. Wallis, 2008.
"Uncertainty and Disagreement in Economic Prediction: The Bank of England Survey of External Forecasters,"
Royal Economic Society, vol. 118(530), pages 1107-1127, 07.
- Boero,Gianna & Smith,Jeremy & Wallis,Kenneth F, 2006. "Uncertainty and disagreement in economic prediction : the Bank of England Survey of External Forecasters," The Warwick Economics Research Paper Series (TWERPS) 811, University of Warwick, Department of Economics.
- Scott Baker & Nicholas Bloom & Steven J. Davis, 2012.
"Has Economic Policy Uncertainty Hampered the Recovery?,"
2012-003, Becker Friedman Institute for Research In Economics.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2012. "Has Economic Policy Uncertainty Hampered the Recovery?," Book Chapters, in: Lee E. Ohanian & John B. Taylor & Ian J. Wright (ed.), Government Policies and the Delayed Economic Recovery, chapter 3 Hoover Institution, Stanford University.
- Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
- Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
- Cristina Conflitti, 2011. "Measuring Uncertainty and Disagreement in the European Survey of Professional Forecasters," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2011(2), pages 69-103.
- Geoff Kenny & Thomas Kostka & Federico Masera, 2014.
"How Informative are the Subjective Density Forecasts of Macroeconomists?,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 33(3), pages 163-185, 04.
- Kenny, Geoff & Kostka, Thomas & Masera, Federico, 2012. "How informative are the subjective density forecasts of macroeconomists?," Working Paper Series 1446, European Central Bank.
- Geoff Kenny & Thomas Kostka & Federico Masera, 2011. "How Informative are the Subjective Density Forecasts of Macroeconomists?," CESifo Working Paper Series 3671, CESifo Group Munich.
- Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2010. "An Evaluation of the Growth and Unemployment Forecasts in the ECB Survey of Professional Forecasters," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-28.
- Friedman, Milton, 1977. "Nobel Lecture: Inflation and Unemployment," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 451-72, June.
- Jonas Dovern & Ulrich Fritsche & Jiri Slacalek, 2009.
"Disagreement among Forecasters in G7 Countries,"
Macroeconomics and Finance Series
200906, Hamburg University, Department Wirtschaft und Politik.
- M. Hashem Pesaran & Martin Weale, 2005.
IEPR Working Papers
05.30, Institute of Economic Policy Research (IEPR).
- Peter Tillmann, 2009.
"The Fed’s perceived Phillips curve: Evidence from individual FOMC forecasts,"
MAGKS Papers on Economics
200946, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Tillmann, Peter, 2010. "The Fed's perceived Phillips curve: Evidence from individual FOMC forecasts," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 1008-1013, December.
- Keith Sill, 2012. "Measuring economic uncertainty using the Survey of Professional Forecasters," Business Review, Federal Reserve Bank of Philadelphia, issue Q4, pages 16-27.
- Levi, Maurice D & Makin, John H, 1980. "Inflation Uncertainty and the Phillips Curve: Some Empirical Evidence," American Economic Review, American Economic Association, vol. 70(5), pages 1022-27, December.
- Kortelainen, Mika & Paloviita, Maritta & Viren, Matti, 2011. "Observed inflation forecasts and the new Keynesian macro model," Economics Letters, Elsevier, vol. 112(1), pages 88-90, July.
- Ralf Fendel & Eliza M. Lis & Jan‐Christoph Rülke, 2011. "Do professional forecasters believe in the Phillips curve? evidence from the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(2), pages 268-287, March.
When requesting a correction, please mention this item's handle: RePEc:hhs:bofrdp:2012_037. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Minna Nyman)
If references are entirely missing, you can add them using this form.