Measuring Inflation Forecast Uncertainty

Looking across a range of statistical models, we consider the likely path of future inflation and the uncertainty surrounding the models' predictions. The models suggest that inflation is on a rising path, and while inflation forecast uncertainty is somewhat elevated relative to the norms of th...

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Bibliographic Details
Published in:Economic commentary (Cleveland) 2015-03 (2015-3), p.1-6
Main Authors: Knotek, II, Edward S, Zaman, Saeed, Clark, Todd E
Format: Article
Language:English
Subjects:
Analysis
Economic conditions
Economic forecasting
Federal funding
Federal funds rate
Forecasting
Forecasts and trends
GDP
Great Recession
Gross Domestic Product
Inflation
Inflation (Finance)
Inflation rates
Labor market
Macroeconomics
Mathematical models
Regression analysis
Standard deviation
Statistical analysis
Time series
Uncertainty
Unemployment
Variables
Volatility
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Summary:Looking across a range of statistical models, we consider the likely path of future inflation and the uncertainty surrounding the models' predictions. The models suggest that inflation is on a rising path, and while inflation forecast uncertainty is somewhat elevated relative to the norms of the last 20 years, core inflation uncertainty is relatively low. For both inflation rates, forecast uncertainty is much lower as of the first quarter of 2015 than it was around the Great Recession.
ISSN:0428-1276
2163-3738
DOI:10.26509/frbc-ec-201503