Articlebronze2018

Measuring Inflation Expectations Uncertainty Using High‐Frequency Data

33 citations0/0 files storedJournal of money credit and banking

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

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.

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References

2009The Impact of Uncertainty Shocks 2003Modeling and Forecasting Realized Volatility 2015Measuring Uncertainty 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2007The Impact of Uncertainty Shocks 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2007Why Has U.S. Inflation Become Harder to Forecast?

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