TY  - JOUR
AU  - Diebold,Francis X.
AU  - Tay,Anthony S.
AU  - Wallis,Kenneth F.
TI  - Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6228
PY  - 1997
Y2  - October 1997
UR  - http://www.nber.org/papers/w6228
L1  - http://www.nber.org/papers/w6228.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Kenneth Wallis
Department of Economics
University of Warwick
Coventry CV4 7AL
UNITED KINGDOM
Tel: +44 24 7652 3026
Fax: +44 24 7652 3032
E-Mail: k.f.wallis@warwick.ac.uk
AB  - Since 1968, the Survey of Professional Forecasters has asked respondents to provide a" complete probability distribution of expected future inflation. We evaluate the adequacy of" those density forecasts using the framework of Diebold, Gunther and Tay (1997).  The analysis" reveals several interesting features of the density forecasts in relation to realized inflation including several deficiencies of the forecasts.  The probability of a large negative inflation" shock is generally overestimated, and in more recent years the probability of a large shock of" either sign is overestimated.  Inflation surprises are serially correlated eventually adapt.  Expectations of low inflation are associated with reduced uncertainty.  The" results suggest several promising directions for future research.
ER  -