Inflation Forecast Uncertainty

Paolo Giordani () and Paul Soderlind ()

No 384, Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-2001. Three popular measures of uncertainty built from survey data are analyzed in the context of models for forecasting and asset pricing, and improved estimation methods are suggested. Popular time series models are evaluated for their ability to reproduce survey measures of uncertainty. The results show that disagreement is a better proxy of inflation uncertainty than what previous literature has indicated, and that forecasters underestimate inflation uncertainty. We obtain similar results for output growth uncertainty.

Keywords: survey data; Survey of Professional Forecasters; GDP growth; VAR; T-GARCH (search for similar items in EconPapers)
JEL-codes: C53 E31 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mon
Date: 2000-05-17, Revised 2001-11-06
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Related works:
Working Paper: Inflation Forecast Uncertainty (2000)
Journal Article: Inflation forecast uncertainty (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:hastef:0384

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