Uncertainty and predictive accuracy: an empirical study

The purpose of this article was to explore the relation between uncertainty and predictive accuracy using data from a survey of inflationary expectations. Uncertainty was proxied alternatively by an interval estimate of expected inflation and a dummy variable capturing the respondents' perceived uncertainty. The relation between the former proxy and the predictive accuracy was negative, as expected, while that was not the case for the latter one. As a tentative explanation for this result we argue that the interval estimate may to some extent capture the access to information of the respondents, while the dummy may rather be conceived as a measure of the subjective feeling of uncertainty.