We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for the quantiles of The Conference Board's coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales)....

We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for the quantiles of The Conference Board's coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales)....

This paper proposes a new approach to extract quantile-based inflation risk measures using Quantile Autoregressive Distributed Lag Mixed-Frequency Data Sampling (QADL-MIDAS) regression models. We compare our models to a standard Quantile Auto-Regression (QAR) model and show that it delivers...