G2TT
来源类型Discussion paper
规范类型论文
来源IDDP2538
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
URLhttps://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.
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