EconPapers    
Economics at your fingertips  
 

The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts

Robert Rich () and Joseph Tracy ()

No 253, Staff Reports from Federal Reserve Bank of New York

Abstract: This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationship between expected inflation, disagreement, and uncertainty. We extend previous studies through our data construction and estimation methodology. Specifically, we derive measures of disagreement and uncertainty by using a decomposition proposed in earlier research by Wallis and by applying the concept of entropy from information theory. We also undertake the empirical analysis within a seemingly unrelated regression framework. Our results offer mixed support for the propositions that disagreement is a useful proxy for uncertainty and that increases in expected inflation are accompanied by heightened inflation uncertainty. However, we document a robust, quantitatively and statistically significant positive association between disagreement and expected inflation.

Keywords: Survey of Professional Forecasters; density forecasts; point forecasts; inflation predictions; seemingly related regression (search for similar items in EconPapers)
JEL-codes: C12 C22 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ets, nep-for and nep-mon
Date: 2006-07-01
Note: For a published version of this report, see Robert Rich and Joseph Tracy, "The Relationships among Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts," Review of Economics and Statistics 92, no. 1 (February 2010): 200-7.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr253.html (text/html)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr253.pdf (application/pdf)

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:fip:fednsr:253

Ordering information: This working paper can be ordered from
http://www.ny.frb.org/rmaghome/staff_rp/

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Amy Farber ().

 
Page updated 2019-11-11
Handle: RePEc:fip:fednsr:253