Title: Measuring the effect of expected inflation uncertainty on the UK economy
Authors: Carlos Diaz - University of Leicester (United Kingdom) [presenting]
Abstract: A new measure of ex ante inflation uncertainty based on the revisions of the density forecasts produced by the Bank of England is presented. This measure is interpreted as the expected effect the Bank anticipates that information released between two consecutive revisions (quarters) will have on future inflation uncertainty. Therefore, the measure will be useful to identify uncertainty shocks. The effect of these shocks on a panel of macroeconomic and financial variables is studied.