Federal Reserve Bank of New York Staff Reports the Relationship between Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts the Relationship between Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts
Federal Reserve Bank of New York Staff Reports the Relationship between Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts the Relationship between Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts
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纽约联邦储备银行工作人员报告预期通胀、分歧和不确定性之间的关系：来自匹配点和密度预测的证据 预期通胀、分歧和不确定性之间的关系：来自匹配点和密度预测的证据
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Giorgio
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作者：
Robert Rich;Joseph Tracy;Timothy Cogley;John Ham;B. Hobijn;John Leahy;Jose Lopez;Simon Potter;Til Schuermann;Tom Stark;Giorgio
这篇论文介绍了初步的发现，并分发给经济学家和其他感兴趣的读者，只是为了激发讨论和引起评论。论文中表达的观点是作者的观点，不一定反映纽约联邦储备银行或联邦储备系统的观点。任何错误或遗漏均由作者负责。摘要本文从专业预测者调查中检验通货膨胀的匹配点和密度预测，以分析预期通货膨胀、不一致和不确定性之间的关系。我们通过我们的数据构建和估计方法扩展了之前的研究。具体地说，我们通过使用Wallis在早期研究中提出的分解和应用信息论中的熵概念来推导出不一致和不确定性的度量。我们还在一个看似不相关的回归框架内进行了实证分析。我们的结果对以下观点提供了喜忧参半的支持：分歧是不确定性的有用指标，预期通胀的增加伴随着通胀不确定性的加剧。然而，我们记录了分歧与预期通胀之间强有力的、数量上和统计上显著的正相关关系。Topa提供有用的意见和建议。贝丝·拉宾和阿里尔·泽特林-琼斯提供了出色的研究援助。本文表达的观点是作者的观点，不一定反映纽约联邦储备银行或联邦储备系统的立场。
This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in the paper are those of the authors and are not necessarily reflective of views at the Federal Reserve Bank of New York or the Federal Reserve System. Any errors or omissions are the responsibility of the authors. Abstract This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationship between expected inflation, disagreement, and uncertainty. We extend previous studies through our data construction and estimation methodology. Specifically, we derive measures of disagreement and uncertainty by using a decomposition proposed in earlier research by Wallis and by applying the concept of entropy from information theory. We also undertake the empirical analysis within a seemingly unrelated regression framework. Our results offer mixed support for the propositions that disagreement is a useful proxy for uncertainty and that increases in expected inflation are accompanied by heightened inflation uncertainty. However, we document a robust, quantitatively and statistically significant positive association between disagreement and expected inflation. Topa for helpful comments and suggestions. Bess Rabin and Ariel Zetlin-Jones provided excellent research assistance. The views expressed in this paper are those of the authors and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.