Publication Type
Book Chapter
Version
submittedVersion
Publication Date
1999
Abstract
Since 1968, the Survey of Professional Forecasters has asked respondents to provide a complete probability distribution of expected future inflation. We evaluate the adequacy of those density forecasts using the framework of Diebold, Gunther and Tay (1997). The analysis reveals several interesting features of the density forecasts in relation to realized inflation including several deficiencies of the forecasts. The probability of a large negative inflation shock is generally overestimated, and in more recent years the probability of a large shock of either sign is overestimated. Inflation surprises are serially correlated eventually adapt. Expectations of low inflation are associated with reduced uncertainty. The results suggest several promising directions for future research.
Discipline
Econometrics | Economics
Research Areas
Econometrics
Publication
Cointegration, causality, and forecasting: A festschrift in honour of Clive W. J. Granger
Editor
H. White; R. F. Engle; C. W. J. Granger
First Page
76
Last Page
90
ISBN
9780198296836
Publisher
Oxford University Press
City or Country
Oxford
Citation
Diebold, Francis X.; Tay, Anthony S.; and Wallis, Kenneth F..
Evaluating density forecasts of inflation: The survey of professional forecasters. (1999). Cointegration, causality, and forecasting: A festschrift in honour of Clive W. J. Granger. 76-90.
Available at: https://ink.library.smu.edu.sg/soe_research/561
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://worldcat.org/isbn/9780198296836