The relationship between forecast dispersion and forecast uncertainty: Evidence from a survey data—arch model
预测分歧与预测不确定性的关系:调查数据与 ARCH 模型证据
Abstract This paper examines empirically the relationship between measures of forecast dispersion and forecast uncertainty from data on inflation expectations from the Livingston survey series and the Survey Research Center (SRC) survey series. Because the survey series do not provide probabilistic forecasts of inflation, we derive measures of inflation uncertainty by modelling the conditional variance of the inflation forecast errors from the survey series as an…