Cross-country uncertainty spillovers: Evidence from international survey data

Beckmann, Joscha; Davidson, Sharada Nia; Koop, Gary; Schüssler, Rainer Alexander

doi:10.1016/j.jimonfin.2022.102760

Cited by 7 publications

(2 citation statements)

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“…In the following, we also discuss estimation results carried out for the relationship between the forecasters' uncertainties regarding inflation and unemployment based on the Phillips curve concept. We are focusing on the co-movement between two different categories of uncertainty while the previous literature often focuses on cross-country spillovers of different uncertainty measures (Klößner and Sekkel, 2014;Caggiano et al 2020;Thiem, 2020;Beckmann et al 2023). The corresponding findings are summarized in Tables 5 to 7 for the three forecast horizons (h = 1, 2, 5).…”

Section: Phillips Curve-based Uncertainty Relationshipmentioning

confidence: 99%

“…Furthermore, adding to the literature concerning spillovers between different dimensions of uncertainty (Klößner and Sekkel, 2014;Ter Ellen et al 2019;Glas, 2020;Caggiano et al 2020;Thiem, 2020;Beckmann et al 2023), we check whether an expectation-based relationship between inflation and unemployment also translates into an association between the uncertainties regarding inflation and unemployment. In doing so, we proxy these uncertainties by individual forecasters' standard deviations derived from their distributional forecasts for inflation and unemployment.…”

Section: Introductionmentioning

confidence: 99%

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Expectation formation and the Phillips curve revisited

Czudaj

2024

Macroecon. Dynam.

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This paper studies expectation formation of professional forecasters in the context of the Phillips curve. We assess whether professionals form their expectations regarding inflation and unemployment consistent with the Phillips curve based on individual forecast data taken from the ECB Survey of Professional Forecasters. We consider expectations over different horizons and do not restrict the analysis to point forecasts but we also take the information inherent in density forecasts into account. We explicitly consider the role of anchoring of inflation expectations as potential source of nonlinearity, and we also assess whether the Phillips curve relation translates to a link between uncertainty regarding inflation and unemployment. Our findings show that professionals tend to build their expectations in line with the Phillips curve but this is only observed for expectations made for shorter horizons. For longer horizons, the Phillips curve connection is much weaker. This relationship also depends on the degree of anchoring and results in a connection between uncertainty regarding future inflation and unemployment.

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Section: Phillips Curve-based Uncertainty Relationshipmentioning

confidence: 99%