| Popis: |
In this paper we study the impact of forecast uncertainty shocks on yields of nominal, inflation-indexed bonds and market-based inflation expectations during the period 1999-2011, in an event-study framework. To that end, we propose a new measure for forecast uncertainty surprises defined as the difference between root mean squared forecast errors (ex-post uncertainty) and forecast disagreement (ex-ante uncertainty). First, we document a significant relationship between uncertainty shocks about the forecasts of some economic fundamentals and financial markets. Second, we explore time variation in the response of asset markets to forecast uncertainty shocks across three macroeconomic regimes: a tranuil regime, a crisis regime and an unconventional monetary policy regime. Third, we conjecture that forecast uncertainty shocks impact asset prices through their effect on inflation and liquidity risk premia. |
