Glas, Alexander ; Hartmann, Matthias
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Abstract
We analyze the determinants of average individual inflation uncertainty and disagreement based on data from the European Central Bank's Survey of Professional Forecasters. We empirically confirm the implication from a theoretical decomposition of inflation uncertainty that disagreement is an incomplete approximation to overall uncertainty. Both measures are associated with macroeconomic conditions and indicators of monetary policy, but the relations differ qualitatively. In particular, average individual inflation uncertainty is higher during periods of expansionary monetary policy, whereas disagreement rises during contractionary periods.
Document type: | Working paper |
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Series Name: | Discussion Paper Series, University of Heidelberg, Department of Economics |
Volume: | 0612 |
Place of Publication: | Heidelberg |
Date Deposited: | 15 Mar 2016 13:30 |
Date: | March 2016 |
Number of Pages: | 40 |
Faculties / Institutes: | The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics |
DDC-classification: | 330 Economics |
Uncontrolled Keywords: | Inflation uncertainty, Disagreement, Density forecast, Central banking,Survey of Professional Forecasters. |
Series: | Discussion Paper Series / University of Heidelberg, Department of Economics |