THE RELATIONSHIPS AMONG EXPECTED INFLATION, DISAGREEMENT, AND UNCERTAINTY: EVIDENCE FROM MATCHED POINT AND DENSITY FORECASTS
成果类型：
Article
署名作者：
Rich, Robert; Tracy, Joseph
署名单位：
Federal Reserve System - USA; Federal Reserve Bank - New York
刊物名称：
REVIEW OF ECONOMICS AND STATISTICS
ISSN/ISSBN：
0034-6535
DOI：
10.1162/rest.2009.11167
发表日期：
2010-02
页码：
200-207
关键词：
摘要：
This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationships among expected inflation, disagreement, and uncertainty. We undertake the empirical analysis within a seemingly unrelated regression framework and derive measures of uncertainty using a decomposition proposed by Wallis (2004, 2005) and by drawing on the concept of entropy. The results offer little evidence that disagreement is a useful proxy for uncertainty and mixed evidence that increases in expected inflation are accompanied by heightened uncertainty. Conversely, we document a quantitatively and statistically significant positive association between disagreement and expected inflation.
来源URL：