Inflation Forecast Uncertainty

Stockholm School of Economics EFI Working Paper No. 384

European Economic Review, Vol. 47, pp.1037-1059, 2003

37 Pages Posted: 24 Nov 2001 Last revised: 15 Jun 2013

See all articles by Paolo Giordani

Paolo Giordani

Norwegian Business School

Paul Söderlind

University of St. Gallen; Centre for Economic Policy Research (CEPR); University of St. Gallen - School of Finance

Date Written: November 1, 2001

Abstract

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

Giordani, Paolo and Söderlind, Paul, Inflation Forecast Uncertainty (November 1, 2001). Stockholm School of Economics EFI Working Paper No. 384, European Economic Review, Vol. 47, pp.1037-1059, 2003, Available at SSRN: https://ssrn.com/abstract=291440 or http://dx.doi.org/10.2139/ssrn.291440

Paolo Giordani (Contact Author)

Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Paul Söderlind

University of St. Gallen ( email )

Rosenbergstrasse 52
St. Gallen, 9000
Switzerland
+41 71 224 7064 (Phone)
+41 71 224 7088 (Fax)

HOME PAGE: http://https://sites.google.com/site/paulsoderlindecon/home

Centre for Economic Policy Research (CEPR)

London
United Kingdom

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

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