Disagreement as a Measure of Uncertainty

Bomberger, William A.

doi:10.2307/2077981

Cited by 182 publications

(109 citation statements)

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“…6 In this paper we try to tackle both issues to obtain full identification of uncertainty. First, we 2 Baker et al (2013), Iselin and Siliverstovs (2013), Abberger et al (2014b), Abberger et al (2015) 3 Bomberger (1996), Boero et al (2008), 4 Pattillo (1998), Guiso and Parigi (1999), Temple et al (2001), Driver et al (2004), , Bianco et al (2013) 5 Bekaert et al (2010), Stein and Stone (2013) 6 Investment is affected by first moment changes in prices. Changes in the first moment can be systematically related to changes in the second moment.…”

Section: Measuring Uncertaintymentioning

confidence: 97%

Exchange Rate Uncertainty and Firm Investment Plans - Evidence from Swiss Survey Data

Binding

Dibiasi

2016

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract A sudden change in monetary policy happened in Switzerland on January 15th, 2015. The Swiss National Bank removed a lower exchange rate bound vis-à-vis the Euro. This unexpected change of regime induced a temporary uncertainty about future prices in foreign markets. We believe that this hampers firm investment in the short term. Using this change in monetary policy as a natural experiment and exploiting the continuous nature of a micro-level business tendency survey, we identify the source of uncertainty and disentangle first and second moment effects. We find that price uncertainty affects investment in equipment and machinery through real option effects and believe that growth option effects positively influences expenditures in research and development. We show that focusing on aggregate gross fixed capital formation masks important insights and suggest the use of disaggregated investment data to deepen our knowledge on the relationship between uncertainty and investment. Terms of use: Documents in

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Section: Measuring Uncertaintymentioning

confidence: 97%

Exchange Rate Uncertainty and Firm Investment Plans - Evidence from Swiss Survey Data

Binding

Dibiasi

2016

SSRN Journal

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“…That is, an observation for uncertainty at time t is available only when realized inflation is observed at time t + 12. Bomberger and Frazer (1981), Bomberger (1996Bomberger ( , 1999, and Giordani and Söderlind (2003) propose the cross-sectional dispersion of point forecasts (disagreement) as a measure of uncertainty. Instead of using the cross-sectional standard deviation of forecasts, we follow Mankiw et al (2003) and rely on the interquartile range (iqr s ) since it is more robust to outliers.…”

Section: Survey-based Measuresmentioning

confidence: 99%

Inflation uncertainty revisited: a proposal for robust measurement

2014

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractAny measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information contained in different measures derived from survey data, a variety of forecast models, and volatility models. We show that all measures are driven by a common component which constitutes an indicator for inflation uncertainty. Moreover, the idiosyncratic component of survey disagreement contains systematic measurement error during economic downturns. Finally, we study the Friedman-Ball hypothesis. Using the indicator, it turns out that higher inflation is followed by higher uncertainty. By contrast, we obtain contradictory results for the individual measures. We also document that, after an inflationary shock, uncertainty decreases in the first two months which is traceable to the energy component in CPI inflation.JEL Code: C53, E31, E37.

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“…Although logically inflation uncertainty is not the same thing as disagreement of inflation forecasts, empirically these indicators can behave similarly. For more in-depth discussion of the issues see Zarnowitz and Lambros (1987) and Bomberger (1996).…”

Section: Comparison With Livingston Survey For the Usmentioning

confidence: 99%

The Links between Inﬂation and Inﬂation Uncertainty at the Longer Horizon

Tsyplakov

2010

SSRN Journal

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In this paper I examine the Okun-Friedman hypothesis of the link between inflation and inflation uncertainty using historical international data on the monthly CPI. An indicator of inflation uncertainty at the two-years-ahead horizon is derived from a time-series model of inflation with time-varying parameters by means of Monte Carlo simulations. This indicator is compared to other uncertainty measures, with the short forecast horizon and based on simpler GARCH-type models. The analysis convincingly demonstrates that both the longer horizon and changing parameters are important for the regularity. The evidence obtained strongly supports the Okun-Friedman hypothesis both in the time dimension for most countries and across countries.

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Disagreement as a Measure of Uncertainty

Cited by 182 publications

References 0 publications

Exchange Rate Uncertainty and Firm Investment Plans - Evidence from Swiss Survey Data

Exchange Rate Uncertainty and Firm Investment Plans - Evidence from Swiss Survey Data

Inflation uncertainty revisited: a proposal for robust measurement

The Links between Inﬂation and Inﬂation Uncertainty at the Longer Horizon

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