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Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
ECB Working Paper No. 825
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper estimates the degree of uncertainty and asymmetry in the probability forecasts of the Survey of Professional Forecasters (SPF) using a new methodology. The main conclusion from our analysis is that, when monitoring inflation expectations, limiting attention to a point prediction is not sufficient. The analysis of inflation expectations should take into account inflation risks. As an example, we show that our measures of inflation risks can better explain why inflation scares happened in the bond market during the Volcker disinflation.
Schlagwörter: 
inflation expectations
inflation risk
power divergence estimators
skew-normal distribution
Survey of Professional Forecasters (SPF)
JEL: 
C16
C42
E31
E47
Dokumentart: 
Working Paper

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