We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation … featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US … and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that …

forecasts ; directional forecast value ; forecast evaluation ; economic forecast value ; mean squared forecast error ; mean … economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that … directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success …