Inflation Uncertainty and Disagreement in Bond Risk Premia

  title={Inflation Uncertainty and Disagreement in Bond Risk Premia},
  author={Stefania D’Amico and Athanasios Orphanides},
  journal={Econometric Modeling: Capital Markets - Risk eJournal},
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the subjective probability distributions available in the Survey of Professional Forecasters we construct a quarterly time series of average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model-based ex-post… 

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