Using a VAR model that includes a survey measure of expected inflation, this article investigates the responses of expected inflation to temporary shocks to macroeconomic variables during three sample periods, 1953:1--1979:1, 1979:2--2001:1, and 1985:1--2007:1. Shocks to actual inflation,...

This article constructs an empirical measure of uncertainty about short-term inflation forecasts and finds the long bond rate to be positively correlated with this empirical measure over 1984Q1 to 2004Q3. The positive correlation suggests that an increase in uncertainty about short-term...