EconPapers    
Economics at your fingertips  
 

A comparative assessment of alternative ex ante measures of inflation uncertainty

Matthias Hartmann, Helmut Herwartz and Maren Ulm

International Journal of Forecasting, 2017, vol. 33, issue 1, 76-89

Abstract: The existence of unconventional monetary and fiscal policy arrangements in industrialized economies has been raising concerns about the future evolution of inflation rates ever since the onset of the financial and sovereign debt crisis in 2008. However, the question of how inflation uncertainty should be quantified is an open issue. We assess the informative content of alternative ex ante quantifications of inflation uncertainty by predicting ex post squared inflation forecast errors in an out-of-sample forecasting contest. We find that the average across distinct models’ levels of ex ante uncertainty offers a greater predictive content than other uncertainty measures based on the cross-sectional variance of point forecasts, GARCH or stochastic volatility models.

Keywords: Uncertainty measurement; Ex ante and ex post inflation uncertainty; Disagreement; Out-of-sample forecasting; Economic crisis (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169207016300929
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:33:y:2017:i:1:p:76-89

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-11-11
Handle: RePEc:eee:intfor:v:33:y:2017:i:1:p:76-89