Inflation Forecast Uncertainty
Stockholm School of Economics EFI Working Paper No. 384
37 Pages Posted: 24 Nov 2001 Last revised: 15 Jun 2013
Date Written: November 1, 2001
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
JEL Classification: C53, E31, E37
Suggested Citation: Suggested Citation