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Disagreement as a Measure of Uncertainty
Open accessAbstract
This paper presents evidence from the Livingston survey of inflation forecasts that forecaster disagreement provides a useful measure of forecast uncertainty. The evidence is analogous to the evidence for ARCH effects. Disagreement at the time of the forecast has as large positive effect on the conditional variance of the subsequent forecast error. As a conditioning variable, forecaster disagreement dominates ARCH for both survey errors and the error terms in Robert Engle's quarterly model of inflation. As measured by the resulting conditional variances, disagreement indicates larger and more variable levels of uncertainty for the 1946-94 period. Copyright 1996 by Ohio State University Press.
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Citations
Cited by
Measuring Economic Policy Uncertainty*
Baker, S. R., Bloom, N., & Davis, S. J. (2016) · The Quarterly Journal of Economics · doi:10.1093/qje/qjw024 · Cited by 12,458
Really Uncertain Business Cycles
Bloom, N., Floetotto, M., Jaimovich, N., Saporta-Eksten, I., & Terry, S. J. (2018) · Econometrica · doi:10.3982/ecta10927 · Cited by 1,120
Uncertainty and Economic Activity: Evidence from Business Survey Data
Bachmann, R., Elstner, S., & Sims, E. R. (2013) · American Economic Journal: Macroeconomics · doi:10.1257/mac.5.2.217 · Cited by 991
Metadata
- Authors
- Bomberger, W. A.
- Venue
- Journal of Money, Credit and Banking
- Publisher
- JSTOR
- Published
- 1996-08
- Volume
- 28
- Issue
- 3
- Pages
- 381
- ISSN
- 0022-2879 (ISSN-L)
- OpenAlex
- W2076571294
- Cited by
- 238
- References
- 0
- FWCI
- 1.29
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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