| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2538 |
| DP2538 Extreme Correlation of International Equity Markets | |
| Bruno H Solnik; François Longin | |
| 发表日期 | 2000-08-29 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-1999. Three popular methods of estimating uncertainty from survey data are analysed in the context of models for forecasting and asset pricing. We find that inflation uncertainty fluctuates over time in a way that traditional time series models fail to capture. Instead, uncertainty is highly correlated with the level of inflation, in particular with recent positive inflation surprises. We also find that disagreement among forecasters increases with the inflation rate and causes above-average fluctuations in individual uncertainty. |
| 主题 | International Macroeconomics |
| 关键词 | Survey data Survey of professional forecasters Var Tgarch |
| URL | https://cepr.org/publications/dp2538 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531612 |
| 推荐引用方式 GB/T 7714 | Bruno H Solnik,François Longin. DP2538 Extreme Correlation of International Equity Markets. 2000. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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