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Title: Inflation Forecast Uncertainty

Author(s): Paul S�derlind

Publication Date: July 2000

Keyword(s): Survey Data, Survey of Professional Forecasters, TGARCH and VAR

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

S�derlind, P. 2000. 'Inflation Forecast Uncertainty'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=2499