This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationships among expected inflation, disagreement, and uncertainty. We undertake the empirical analysis within a seemingly unrelated regression framework and derive measures of uncertainty using a decomposition proposed by Wallis (2004, 2005) and by drawing on the concept of entropy. The results offer little evidence that disagreement is a useful proxy for uncertainty and mixed evidence that increases in expected inflation are accompanied by heightened uncertainty. Conversely, we document a quantitatively and statistically significant positive association between disagreement and expected inflation.

This paper evaluates the use of measures of regional economic activity to forecast tax revenues for New York State and New York City at 3-, 6-, and 12-month horizons. We construct sales- and withholding-tax base series and then apply the methodology of Stock and Watson (1989, 1991) to estimate regional indexes of coincident economic indicators. Employing an out-of-sample forecasting framework, we find that the use of the coincident indexes leads to statistically and economically significant improvements in tax base forecasts compared to those generated from univariate autoregressions. In addition, the coincident indexes produce forecasts that are generally more accurate than forecasts that rely on the use of the coincident indicators separately. Though our analysis focuses on forecasting movements in tax revenue at the state or local level, it is also intended to draw attention to the value the indexes may provide in other applications.

This paper provides an empirical investigation into the relationship between uncertainty and ex ante U.S. labor contract durations over the period 1970 to 1995. Using a structural identification of aggregate demand and aggregate supply shocks, we find that desired contract durations are shorter during periods of heightened nominal or real uncertainty. This evidence supports the view that labor contract durations respond endogenously to the aggregate uncertainty prevailing at the time they are negotiated, but suggests that risk-sharing concerns are not paramount. The analysis also considers several measures of inflation uncertainty that have appeared in the literature. The results generally corroborate previous findings of an inverse relationship between desired contract durations and the level of inflation uncertainty.