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Measuring consumer uncertainty about future inflation

Bruine de Bruin, W, Manski, CF, Topa, G and Van der Klaaw, W (2011) Measuring consumer uncertainty about future inflation. Journal of Applied Econometrics, 26 (3). 454 - 478 . ISSN 0883-7252

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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.

Item Type: Article
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Business (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 01 Oct 2012 10:18
Last Modified: 15 Sep 2014 03:37
Published Version: http://dx.doi.org/10.1002/jae.1239
Status: Published
Publisher: John Wiley & Sons
Identification Number: 10.1002/jae.1239
URI: http://eprints.whiterose.ac.uk/id/eprint/74520

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