Measuring Inflation Expectations Uncertainty Using High‐Frequency Data
通过将金融市场中噪声且可能有偏的通胀预期信息纳入标准通胀模型，构建了更精确的通胀预期不确定性衡量指标，并发现美国大衰退期间该不确定性显著变化，对政策制定者有参考价值。
Abstract Inflation expectations play a key role in determining future economic outcomes. The associated uncertainty provides a direct gauge of how well‐anchored the inflation expectations are. We construct a model‐based measure of inflation expectations uncertainty by augmenting a standard unobserved components model of inflation with information from noisy and possibly biased measures of inflation expectations obtained from financial markets. This new model‐based measure of inflation expectations uncertainty is more accurately estimated and can provide valuable information for policymakers. Using U.S. data, we find significant changes in inflation expectations uncertainty during the Great Recession.