Inflation Forecast Uncertainty

By Paolo Giordani, P. Söderlind. 2003

394 citations recorded by the source corpus.

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Citations in the corpus

The Determinants of Stock and Bond Return Comovements (2010, background): “Our measure of bond market illiquidity is a monthly average of quoted bid-ask spreads across all maturities, taken from Goyenko (2006).”
Economic policy uncertainty and firm-level investment (2014, unknown): “Firms with real total assets below the sample mean value (13.49 hundred million dollars) in each year are considered 22 For example, Giordani and Soderlind (2003), Boero, et al. (2008), among others, find significant correlations between inflation forecast disagreement and GDP growth uncertainty,…”
An Introduction to the Ecb's Survey of Professional Forecasters (2003, background): “8 • Sep tember 200310 7 For a recent discussion of alternative measures of uncertainty surrounding survey data, see for example Giordani and Soderlind (2003).”
Measuring Economic Policy Uncertainty (2016, background): “pdf 7 See, for example, Zarnowitz and Lambros (1987), Bomberger (1996), Giordani and Soderlind (2004) and Boero, Smith and Wallis (2008). These papers find a significant correlation between disagreement among”
Uncertainty and disagreement in economic prediction : the Bank of England Survey of External Forecasters (2008, unknown): “…measures of uncertainty based on density forecasts, and disagreement among point forecasts, by Zarnowitz and Lambros (1987), updated and extended by Giordani and Soderlind (2003); the relationship between inflation uncertainty and real interest rates (Lahiri, Teigland and Zaporowski, 1988;…”
Uncertainty and Economic Activity: Evidence from Business Survey Data (2013, unknown): “…significant positive correlations between these two measures or use disagreement as a proxy for uncertainty are: Federer (1993), Bomberger (1996), Giordano and Soederlind (2003), Bond and Cummins (2004), Fuss and Vermeulen (2008), Clements (2008), Popescu and Smets (2010) and Bloom et al.…”
The ECB Survey of Professional Forecasters (SPF) - A Review After Eight Years' Experience (2007, methodology): “A third possible measure of forecast uncertainty that can be constructed using the SPF data is what Giordani and Söderlind (2003) call the “combined forecast” uncertainty.”
The Role of Media for Inflation Forecast Disagreement of Households and Professionals (2012, unknown): “As a measure of disagreement we follow Giordani and Söderlind (2003) and employ the quasi-standard deviation (QSD) defined as half the difference between the 84th and 16th percentile of the point forecasts as a measure of disagreement. The quasistandard deviation is robust to outliers and correspond”
Measuring Forecast Uncertainty by Disagreement: The Missing Link (2008, methodology): “E-mail: klahiri@albany.edu 1 See, for instance, Bomberger (1996, 1999), Rich and Butler (1998), Giordani and Söderlind (2003), Lahiri and Liu (2005), and Boreo et al. (2008).”
Really Uncertain Business Cycles (2012, unknown): “14 See, for example, Zarnowitz and Lambros (1987), Bomberger (1996), and Giordani and Soderlind (2004) .”
Inflation and the Stock Market: Understanding the 'Fed Model' (2009, background): “6 Giordani and Soderlind (2003) show that such disagreement measures are good proxies for uncertainty.”
Uncertainty and disagreement in economic forecasting (2008, background): “For the first part, we focus on the assumption that a normal distribution approximates the probabilistic beliefs of each respondent sufficiently well (Giordani and Söderlind (2003)).”
Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models (2008, background): “There is conclusive evidence that inflation is less forecastable at higher levels (see Giordani and Söderlind 2003 for a recent discussion).”
VOLATILITY AND CORRELATION FORECASTING (2006, background): “Granger (1980) first showed that the superposition of an infinite number of stationary AR(1) processes may result in a true long-memory process.”
Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise (2017, unknown): “(See, e.g., Cukierman and Wachtel 1979; Levi and Makin 1979, 1980; Makin 1982; Brenner and Landskroner 1983; Hahm and Steigerwald 1999; Hayford 2000; Giordani and Söderlind 2003; Johnson 2004; Barron, Stanford, and Yu 2009; Güntay and Hackbarth 2010; Bachmann, Elstner, and Sims 2013.)”
Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR 'Fan' Charts of Inflation (2005, unknown): “Section Giordani & Söderlind (2003) and Clements (2004b).”
Explanations of the inconsistencies in survey respondents'forecasts (2010, background): “such as the normal (e.g., Giordani and Soderlind (2003, p. 1044) ) or the unimodal generalized beta”