Inflation Forecast Uncertainty

Söderlind, Paul
Authors registered in the RePEc Author Service: Paul Söderlind

No 2499, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-1999. Three popular methods of estimating uncertainty from survey data are analysed in the context of models for forecasting and asset pricing. We find that inflation uncertainty fluctuates over time in a way that traditional time series models fail to capture. Instead, uncertainty is highly correlated with the level of inflation, in particular with recent positive inflation surprises. We also find that disagreement among forecasters increases with the inflation rate and causes above-average fluctuations in individual uncertainty.

Keywords: Survey data; Survey of professional forecasters; Var; Tgarch (search for similar items in EconPapers)
JEL-codes: C53 E31 E37 (search for similar items in EconPapers)
Date: 2000-07
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Inflation forecast uncertainty (2003)
Working Paper: Inflation Forecast Uncertainty (2001)
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