Measuring Inflation Forecast Uncertainty

Todd Clark, Edward Knotek and Saeed Zaman

Economic Commentary, 2015, vol. 2015, issue 03, 6

Abstract: Looking across a range of statistical models, we consider the likely path of future inflation and the uncertainty surrounding the models' predictions. The models suggest that inflation is on a rising path, and while inflation forecast uncertainty is somewhat elevated relative to the norms of the last 20 years, core inflation uncertainty is relatively low. For both inflation rates, forecast uncertainty is much lower as of the first quarter of 2015 than it was around the Great Recession.

Date: 2015
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DOI: 10.26509/frbc-ec-201503

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