Inflation and output growth uncertainty in individual survey expectations

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Title: Inflation and output growth uncertainty in individual survey expectations
ISBN: 978-952-462-832-7
Author: Paloviita, Maritta ; Virén, Matti
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2012
Series number: 37/2012
Year of publication: 2012
Publication date: 19.12.2012
Published in: Published in Empirica, Volume 41, Issue 1, 2014, Pages 69-81
DOI: 10.1007/s10663-013-9225-z
Pages: 24 s.
Keywords: inflaatio; tuotanto; talouskasvu; bkt; hinnat; odotukset; epävarmuus; ennusteet; Phillipsin käyrä; EKP; USA; SPF
JEL: C53; E37; E31
Abstract: This paper studies uncertainty using the ECB Survey of Professional Forecasters' data. We consider both inflation and real GDP growth forecasts at the micro level and explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts and the median values of individual forecasters' uncertainty, which are based on subjective probability distributions of survey respondents. Our analysis indicates that individual inflation uncertainty is closely related to the output growth uncertainty. In forming expectations, individual forecasters seem to behave according to an uncertainty-augmented hybrid specification of the New Keynesian Phillips curve. We also find evidence that inflation uncertainty has a negative impact on economic activity by decreasing output growth and increasing inflation and lowering the price sensitiveness of aggregate supply. Key words: Forecasting, Survey data, Expectations, Phillips curve JEL Classification: C53, E37, E31
Rights: https://helda.helsinki.fi/bof/copyright


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