Publication Type

Book Chapter

Version

Preprint

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

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://www.worldcat.org/isbn/9780198296836

Included in

Econometrics Commons

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