A comparative assessment of alternative ex ante measures of inflation uncertainty

Hartmann, Matthias; Herwartz, Helmut; Ulm, Maren

doi:10.1016/j.ijforecast.2016.08.005

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A comparative assessment of alternative ex ante measures of inflation uncertainty

Hartmann, Matthias; Herwartz, Helmut; Ulm, Maren

2017 • In International Journal of Forecasting, 33 (1), p. 76-89

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https://hdl.handle.net/2268/267798

DOI
10.1016/j.ijforecast.2016.08.005

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Keywords :

Uncertainty measurement; Ex ante and ex post inflation uncertainty; Disagreement

Abstract :

[en] The existence of unconventional monetary and fiscal policy arrangements in industrialized economies has been raising concerns about the future evolution of inflation rates ever since the onset of the financial and sovereign debt crisis in 2008. However, the question of how inflation uncertainty should be quantified is an open issue. We assess the informative content of alternative ex ante quantifications of inflation uncertainty by predicting ex post squared inflation forecast errors in an out-of-sample forecasting contest. We find that the average across distinct models’ levels of ex ante uncertainty offers a greater predictive content than other uncertainty measures based on the cross-sectional variance of point forecasts, GARCH or stochastic volatility models.

Disciplines :

Macroeconomics & monetary economics

Author, co-author :

Hartmann, Matthias

Herwartz, Helmut

Ulm, Maren ; Université de Liège - ULiège > HEC Recherche

Language :

English

Title :

A comparative assessment of alternative ex ante measures of inflation uncertainty

Publication date :

2017

Journal title :

International Journal of Forecasting

ISSN :

0169-2070

eISSN :

1872-8200

Publisher :

Elsevier, Amsterdam, Netherlands

Volume :

Issue :

Pages :

76-89

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 03 February 2022

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