Arbeitspapier
What can probability forecasts tell us about inflation risks?
A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper estimates the degree of uncertainty and asymmetry in the probability forecasts of the Survey of Professional Forecasters (SPF) using a new methodology. The main conclusion from our analysis is that, when monitoring inflation expectations, limiting attention to a point prediction is not sufficient. The analysis of inflation expectations should take into account inflation risks. As an example, we show that our measures of inflation risks can better explain why inflation scares happened in the bond market during the Volcker disinflation.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 825
- Classification
-
Wirtschaft
Classification Discontinued 2008. See C83.
Price Level; Inflation; Deflation
Money and Interest Rates: Forecasting and Simulation: Models and Applications
- Subject
-
inflation expectations
inflation risk
power divergence estimators
skew-normal distribution
Survey of Professional Forecasters (SPF)
Inflationserwartung
Inflation
Risiko
Glaubwürdigkeit
Zentralbank
Theorie
USA
- Event
-
Geistige Schöpfung
- (who)
-
García, Juan Angel
Manzanares, Andrés
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- García, Juan Angel
- Manzanares, Andrés
- European Central Bank (ECB)
Time of origin
- 2007
Other Objects (12)
On the Ordering of Probability Forecasts
On the ordering of probability forecasts
Combining Inflation Density Forecasts
G-7 Inflation forecasts
G-7 inflation forecasts
Uncertainty bands for inflation forecasts
Do inflation expectations improve model-based inflation forecasts?
Do inflation expectations improve model-based inflation forecasts?
Inflation forecasts versus shaping inflation expectations: Comparative analysis
Do inflation expectations improve model-based inflation forecasts?
Inflation risks and inflation risk premia
The camp view of inflation forecasts
On the Ordering of Probability Forecasts
On the ordering of probability forecasts
Combining Inflation Density Forecasts
G-7 Inflation forecasts
G-7 inflation forecasts
Uncertainty bands for inflation forecasts
Do inflation expectations improve model-based inflation forecasts?
Do inflation expectations improve model-based inflation forecasts?
Inflation forecasts versus shaping inflation expectations: Comparative analysis
Do inflation expectations improve model-based inflation forecasts?
Inflation risks and inflation risk premia
The camp view of inflation forecasts
On the Ordering of Probability Forecasts
On the ordering of probability forecasts
Combining Inflation Density Forecasts
G-7 Inflation forecasts
G-7 inflation forecasts
Uncertainty bands for inflation forecasts
Do inflation expectations improve model-based inflation forecasts?
Do inflation expectations improve model-based inflation forecasts?
Inflation forecasts versus shaping inflation expectations: Comparative analysis
Do inflation expectations improve model-based inflation forecasts?
Inflation risks and inflation risk premia