The Relationships among Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts
利用专业预测者调查中的匹配点预测和密度预测数据，研究了预期通胀、预测分歧和不确定性之间的关系，发现分歧不能很好地代表不确定性，而预期通胀上升与不确定性增加的关系不明确，但分歧与预期通胀有显著正相关。
This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationships among expected inflation, disagreement, and uncertainty. We undertake the empirical analysis within a seemingly unrelated regression framework and derive measures of uncertainty using a decomposition proposed by Wallis (2004, 2005) and by drawing on the concept of entropy. The results offer little evidence that disagreement is a useful proxy for uncertainty and mixed evidence that increases in expected inflation are accompanied by heightened uncertainty. Conversely, we document a quantitatively and statistically significant positive association between disagreement and expected inflation. © 2010 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.