equilibrium exists. We study the response differences in the dynamics of the inflation rate to changes in the mean and variance of … the Great Recession, in which the effects of greater model uncertainty may have played a role in keeping inflation rates …

horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such … forecasts are not optimal. Seemingly unrelated regressions are used to address questions concerning the inflation forecast …Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of …