Measuring consumer uncertainty about future inflation

Wändi Bruine De Bruin, Charles Manski, Giorgio Topa, Wilbert Van der Klaauw*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

28 Scopus citations

Abstract

We introduce a survey-based measure of uncertainty about future inflation, asking consumers for density forecasts across inflation outcomes. Consumers are willing and able to express uncertainty, showing high response rates and response patterns that are reliably related to qualitative measures of uncertainty. Heterogeneity in expressed uncertainty is associated with demographic characteristics and financial literacy, and measures of central tendency derived from density forecasts are strongly correlated with point forecasts. Furthermore, expressed uncertainty is positively related to point forecast levels and to larger revisions in point forecasts over time.

Original languageEnglish (US)
Pages (from-to)454-478
Number of pages25
JournalJournal of Applied Econometrics
Volume26
Issue number3
DOIs
StatePublished - Apr 1 2011

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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