estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk …

methodology and empirical tests for the information value of coincident measures are lacking. This paper provides a twofold … contribution to the literature: (i) a general-purpose evaluation framework for assessing information value for measures of systemic … conditions, and (ii) an empirical assessment of the information value for several alternative measures of US systemic conditions …