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Citations for "Inflation forecast uncertainty"

by Giordani, Paolo & Soderlind, Paul

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  1. Lahiri, Kajal & Liu, Fushang, 2005. "ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts," MPRA Paper 21693, University Library of Munich, Germany.
  2. Chua, Chew Lian & Tsiaplias, Sarantis, 2011. "Predicting economic contractions and expansions with the aid of professional forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 438-451, April.
  3. Ivo J. M. Arnold & Jan J.G. Lemmen, 2006. "Inflation Expectations and Inflation Uncertainty in the Eurozone: Evidence from Survey Data," CESifo Working Paper Series 1667, CESifo Group Munich.
  4. Gauvin, L. & McLoughlin, C. & Reinhardt, D., 2013. "Policy Uncertainty Spillovers to Emerging Markets - Evidence from Capital Flows," Working papers 435, Banque de France.
  5. Söderlind, Paul, 2009. "The C-CAPM without ex post data," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
  6. Atilla Cifter, 2015. "Stock Returns, Inflation, and Real Activity in Developing Countries: A Markov-Switching Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(1), pages 55-76, March.
  7. Kuang-Liang Chang & Chi-Wei He, 2010. "Does The Magnitude Of The Effect Of Inflation Uncertainty On Output Growth Depend On The Level Of Inflation?," Manchester School, University of Manchester, vol. 78(2), pages 126-148, 03.
  8. Carvalho, Fabia A. & Minella, André, 2012. "Survey forecasts in Brazil: A prismatic assessment of epidemiology, performance, and determinants," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1371-1391.
  9. Giordani, Paolo & Söderlind, Paul, 2002. "Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SSE/EFI Working Paper Series in Economics and Finance 519, Stockholm School of Economics, revised 15 Aug 2003.
  10. Kosei Fukuda, 2009. "Forecasting growth cycle turning points using US and Japanese professional forecasters," Empirical Economics, Springer, vol. 36(2), pages 243-267, May.
  11. Knüppel, Malte, 2009. "Efficient estimation of forecast uncertainty based on recent forecast errors," Discussion Paper Series 1: Economic Studies 2009,28, Deutsche Bundesbank, Research Centre.
  12. Kajal Lahiri & Xuguang Sheng, 2010. "Measuring forecast uncertainty by disagreement: The missing link," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 514-538.
  13. Geert Bekaert & Eric Engstrom, 2009. "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers 15024, National Bureau of Economic Research, Inc.
  14. Henning Fischer & Marta García-Bárzana & Peter Tillmann & Peter Winker, 2012. "Evaluating FOMC forecast ranges: an interval data approach," MAGKS Papers on Economics 201213, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  15. Wojciech Charemza & Carlos Diaz & Svetlana Makarova, 2014. "Term Structure Of Inflation Forecast Uncertainties And Skew Normal Distributions," Discussion Papers in Economics 14/01, Department of Economics, University of Leicester.
  16. Kajal Lahiri & Fushang Liu, 2006. "Modeling Multi-Period Inflation Uncertainty Using a Panel of Density Forcasts," Discussion Papers 06-05, University at Albany, SUNY, Department of Economics.
  17. Jonas Dovern & Ulrich Fritsche, 2008. "Estimating fundamental cross-section dispersion from fixed event forecasts," Macroeconomics and Finance Series 200801, Hamburg University, Department Wirtschaft und Politik.
  18. Maria Teresa VALDERRAMA & Ernest GNAN & Johannes LANGTHALLER & Maria T. VALDERRAMA, . "Inflation Uncertainty: What Can Behavioural Economics Teach Us?," EcoMod2010 259600167, EcoMod.
  19. Richard D. Farmer, 2006. "Risk-Smoothing Across Time and the Demand for Inventories: A Mean-Variance Approach," Eastern Economic Journal, Eastern Economic Association, vol. 32(4), pages 699-722, Fall.
  20. Sauter, Oliver, 2012. "Assessing uncertainty in Europe and the US: is there a common uncertainty factor?," MPRA Paper 38031, University Library of Munich, Germany.
  21. Stefania D'Amico & Athanasios Orphanides, 2008. "Uncertainty and disagreement in economic forecasting," Finance and Economics Discussion Series 2008-56, Board of Governors of the Federal Reserve System (U.S.).
  22. Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
  23. Ellison, Martin & Yates, Tony, 2007. "Escaping Nash and Volatile Inflation," CEPR Discussion Papers 6483, C.E.P.R. Discussion Papers.
  24. Marcello Pericoli & Giovanni Veronese, 2015. "Forecaster heterogeneity, surprises and financial markets," Temi di discussione (Economic working papers) 1020, Bank of Italy, Economic Research and International Relations Area.
  25. Mestre, Ricardo, 2007. "Are survey-based inflation expections in the euro area informative?," Working Paper Series 0721, European Central Bank.
  26. Clements, Michael P., 2008. "Rounding of probability forecasts : The SPF forecast probabilities of negative output growth," The Warwick Economics Research Paper Series (TWERPS) 869, University of Warwick, Department of Economics.
  27. Robert W. Rich & Joseph Tracy, 2003. "Modeling uncertainty: predictive accuracy as a proxy for predictive confidence," Staff Reports 161, Federal Reserve Bank of New York.
  28. Thomas Post & Katja Hanewald, 2011. "Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior," Working Papers 201111, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  29. Paul Söderlind, 2009. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," Working Papers 2009-04, Swiss National Bank.
  30. Kang, Wensheng & Lee, Kiseok & Ratti, Ronald A., 2014. "Economic policy uncertainty and firm-level investment," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 42-53.
  31. Driver, Ciaran & Trapani, Lorenzo & Urga, Giovanni, 2013. "On the use of cross-sectional measures of forecast uncertainty," International Journal of Forecasting, Elsevier, vol. 29(3), pages 367-377.
  32. Fendel, Ralf & Frenkel, Michael & Rülke, Jan-Christoph, 2011. "'Ex-ante' Taylor rules - Newly discovered evidence from the G7 countries," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 224-232, June.
  33. García, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
  34. Caporale, Guglielmo Maria & Paesani, Paolo & Onorante, Luca, 2010. "Inflation and inflation uncertainty in the euro area," Working Paper Series 1229, European Central Bank.
  35. Fabian Krüger & Ingmar Nolte, 2011. "Disagreement, Uncertainty and the True Predictive Density," Working Paper Series of the Department of Economics, University of Konstanz 2011-43, Department of Economics, University of Konstanz.
  36. Koop, Gary & Onorante, Luca, 2011. "Estimating Phillips Curves in Turbulent Times using the ECB’s Survey of Professional Forecasters," SIRE Discussion Papers 2011-19, Scottish Institute for Research in Economics (SIRE).
  37. Maik Schmeling & Andreas Schrimpf, 2008. "Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?," SFB 649 Discussion Papers SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  38. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research 119, National Bank of Belgium.
  39. Jan Christoph Ruelke & Ralf Fendel & Michael Frenkel, 2011. "Do Professional Forecasters Trust in Taylor-Type Rules? - Evidence from the Wall Street Journal Poll," Post-Print hal-00743770, HAL.
  40. Kjellberg, David & Post, Erik, 2007. "A Critical Look at Measures of Macroeconomic Uncertainty," Working Paper Series 2007:14, Uppsala University, Department of Economics.
  41. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, EconWPA.
  42. Volker Wieland & Maik Wolters, 2011. "The diversity of forecasts from macroeconomic models of the US economy," Economic Theory, Springer, vol. 47(2), pages 247-292, June.
  43. Clements, Michael P, 2012. "Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation," The Warwick Economics Research Paper Series (TWERPS) 976, University of Warwick, Department of Economics.
  44. Jean Sepulveda-Umanzor, 2004. "The Relation Between Macroeconomic Uncertainty And The Expected Performance Of the Economy," Econometric Society 2004 Latin American Meetings 304, Econometric Society.
  45. ARATA Yoshiyuki & KIMURA Yosuke & MURAKAMI Hiroki, 2015. "Macroeconomic Consequences of Lumpy Investment under Uncertainty," Discussion papers 15120, Research Institute of Economy, Trade and Industry (RIETI).
  46. Hartmann, Matthias & Conrad, Christian, 2014. "Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100477, Verein für Socialpolitik / German Economic Association.
  47. 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.
  48. Kenny, Geoff & Kostka, Thomas & Masera, Federico, 2014. "Density characteristics and density forecast performance: a panel analysis," Working Paper Series 1679, European Central Bank.
  49. 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.
  50. Christensen, Ian & Frédéric Dion & Christopher Reid, 2004. "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate," Staff Working Papers 04-43, Bank of Canada.
  51. Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2015. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 5468, CESifo Group Munich.
  52. Giordani, Paolo & Kohn, Robert, 2008. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
  53. Afonso S Bevilaqua & Mário Mesquita & André Minella, 2008. "Brazil: taming inflation expectations," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 139-158 Bank for International Settlements.
  54. Joseph Engelberg & Charles F. Manski & Jared Williams, 2006. "Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters," NBER Working Papers 11978, National Bureau of Economic Research, Inc.
  55. Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics.
  56. Dr. James Mitchell, 2008. "Evaluating Density Forecasts: Forecast Combinations, Model Mixtures, Calibration and Sharpness," NIESR Discussion Papers 320, National Institute of Economic and Social Research.
  57. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2014. "Signals from the Government: Policy Uncertainty and the Transmission of Fiscal Shocks," MPRA Paper 56136, University Library of Munich, Germany.
  58. Hartmann, Matthias & Roestel, Jan, 2013. "Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 98-112.
  59. Christian Grimme & Steffen Henzel & Elisabeth Wieland, 2014. "Inflation uncertainty revisited: a proposal for robust measurement," Empirical Economics, Springer, vol. 47(4), pages 1497-1523, December.
  60. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Contrasts Between Classes of Assets in Fixed Investment Equations as a Way of Testing Real Option Theory," School of Economics Discussion Papers 0805, School of Economics, University of Surrey.
  61. Söderlind, Paul, 2009. "Why disagreement may not matter (much) for asset prices," Finance Research Letters, Elsevier, vol. 6(2), pages 73-82, June.
  62. Thorsten Lehnert & Aleksandar Andonov & Florian Bardong, 2009. "TIPS, Inflation Expectations and the Financial Crisis," LSF Research Working Paper Series 09-09, Luxembourg School of Finance, University of Luxembourg.
  63. Clements, Michael P., 2008. "Consensus and uncertainty: Using forecast probabilities of output declines," International Journal of Forecasting, Elsevier, vol. 24(1), pages 76-86.
  64. Michael P. Clements, 2014. "US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 1-14, 01.
  65. Robert W. Rich & Joseph Song & Joseph Tracy, 2012. "The measurement and behavior of uncertainty: evidence from the ECB Survey of Professional Forecasters," Staff Reports 588, Federal Reserve Bank of New York.
  66. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
  67. Peng, Amy & Yang, Ling, 2008. "Modelling uncertainty: A recursive VAR bootstrapping approach," Economics Letters, Elsevier, vol. 99(3), pages 478-481, June.
  68. Michael Clements, 2006. "Evaluating the survey of professional forecasters probability distributions of expected inflation based on derived event probability forecasts," Empirical Economics, Springer, vol. 31(1), pages 49-64, March.
  69. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics.
  70. John R. Graham & Campbell R. Harvey, 2001. "Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective," NBER Working Papers 8678, National Bureau of Economic Research, Inc.
  71. Mitchell, James & Mouratidis, Kostas & Weale, Martin, 2007. "Uncertainty in UK manufacturing: Evidence from qualitative survey data," Economics Letters, Elsevier, vol. 94(2), pages 245-252, February.
  72. Giordani, Paolo & Soderlind, Paul, 2006. "Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 1027-1043, June.
  73. Broer, Tobias & Kero, Afroditi, 2014. "Collateralisation bubbles when investors disagree about risk," CEPR Discussion Papers 10148, C.E.P.R. Discussion Papers.
  74. Badarinza, Cristian & Buchmann, Marco, 2011. "Macroeconomic vulnerability and disagreement in expectations," Working Paper Series 1407, European Central Bank.
  75. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
  76. Thomas Post & Katja Hanewald, 2010. "Stochastic Mortality, Subjective Survival Expectations, and Individual Saving Behavior," SFB 649 Discussion Papers SFB649DP2010-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  77. Thomas Maag & Michael J. Lamla, 2009. "The Role of Media for Inflation Forecast Disagreement of Households and Professionals," KOF Working papers 09-223, KOF Swiss Economic Institute, ETH Zurich.
  78. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
  79. Felix Geiger & Oliver Sauter & Kai D. Schmid, 2009. "The Camp View of Inflation Forecasts," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 320/2009, Department of Economics, University of Hohenheim, Germany.
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