SSE/EFI Working Paper Series in Economics and Finance
No 384:
Inflation Forecast Uncertainty
Paolo Giordani ()
and Paul Soderlind ()
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; (follow links to similar papers)
JEL-Codes: C53; E31; E37; (follow links to similar papers)
23 pages, May 17, 2000, Revised November 6, 2001
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
hastef0384.pdf 
(463kB)
Download Statistics
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
