Corpus ID: 55820622

In!ation forecast uncertainty

@inproceedings{Giordani2003InationFU,
  title={In!ation forecast uncertainty},
  author={P. Giordani and S. Paul},
  year={2003}
}
We study the in!ation 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 in!ation uncertainty than what… Expand
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