Empirical study of causality between inflation, inflation uncertainty and other macroeconomicy quantities. Additionally, the issue of how to measure the unobservable inflation uncertainty is addressed.

We propose an imperfect information model for the expectations of macroeconomic forecasters that explains differences in average disagreement levels across forecasters by means of cross sectional heterogeneity in the variance of private noise signals. We show that the forecaster-specific...

Although survey-based point predictions have been found to outperform successful forecasting models, corresponding variance forecasts are frequently diagnosed as heavily distorted. Forecasters who report inconspicuously low ex-ante variances often produce squared forecast errors that are much...

Although survey-based point predictions have been found to outperform successful forecasting models, corresponding variance forecasts are frequently diagnosed as heavily distorted. Forecasters who report inconspicuously low ex-ante variances often produce squared forecast errors that are much...

It has been recently documented that survey-based point predictions outperform even the most successful forecasting models. However, corresponding variance forecasts are frequently diagnosed as being heavily distorted. Forecasters who report inconspicuously low ex-ante variances often produce...