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Do Central Bank Forecasts Matter for Professional Forecasters?

Author

Listed:
  • Jacek Kotlowski

    (Narodowy Bank Polski
    Warsaw School of Economics)

Abstract

This paper examines the extent to which the information provided by a central bank affects the forecasts formulated by professional forecasters. We empirically investigate whether the disclosure of GDP and inflation forecasts by the Narodowy Bank Polski reduces disagreement in professional forecasters’ expectations. The results only partially support the hypothesis existing in the literature on the coordinating role of the central bank. The main finding is that by publishing its projection of future GDP growth, the central bank reduces the dispersion of one-year-ahead GDP forecasts. Our study indicates that the role of the central bank in reducing the forecasts’ dispersion strengthens over time. Using non-linear models, we also find that the extent to which the projection release affects the dispersion of GDP forecasts varies over the business cycle. On the contrary, the release of CPI projections affects neither the cross-sectional dispersion nor the level of forecasts formulated by professional forecasters.

Suggested Citation

  • Jacek Kotlowski, 2015. "Do Central Bank Forecasts Matter for Professional Forecasters?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(6), pages 432-454, December.
    • Handle: RePEc:fau:fauart:v:65:y:2015:i:6:p:432-454
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    File URL: http://journal.fsv.cuni.cz/storage/1342_kotlowski.pdf
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    Citations

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    Cited by:

    1. Jakub Rybacki, 2019. "Forward guidance and the private forecast disagreement – case of Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 50(4), pages 411-428.
    2. Jakub Rybacki, 2021. "Polish GDP forecast errors: a tale of inefficiency," Bank i Kredyt, Narodowy Bank Polski, vol. 52(2), pages 123-142.
    3. Baranowski, Paweł & Doryń, Wirginia & Łyziak, Tomasz & Stanisławska, Ewa, 2021. "Words and deeds in managing expectations: Empirical evidence from an inflation targeting economy," Economic Modelling, Elsevier, vol. 95(C), pages 49-67.
    4. repec:zbw:bofrdp:2017_013 is not listed on IDEAS
    5. Łyziak, Tomasz & Paloviita, Maritta, 2017. "Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?," Research Discussion Papers 13/2017, Bank of Finland.

    More about this item

    Keywords

    monetary policy; inflation targeting; forecasting; central bank communication; forecast disagreement;
    All these keywords.

    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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