Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation
AbstractCentral to the conduct of monetary policy is the preparation and evaluation of inflation forecasts. Inflation forecast are, however, not unique. Central banks, professional organizations, international institutions, households and firms also generate forecasts of inflation, among other macroeconomic variables that reflect the expected state of the economy. This paper estimates inflation forecast disagreement for nine economies, five of which target inflation over the 1999-2009 period. I find that central bank transparency tends to increase forecast disagreement. To the extent that this reflects the attention paid to inflation performance this suggests that transparency is beneficial. Also, it appears that inflation forecasts are largely driven by a global component but the impact of this global component on forecast disagreement is mixed.
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Bibliographic InfoPaper provided by Institute for Monetary and Economic Studies, Bank of Japan in its series IMES Discussion Paper Series with number 10-E-26.
Date of creation: Nov 2010
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forecast disagreement; central bank transparency; inflation; quantile regression; panel regression;
Find related papers by JEL classification:
- 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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-27 (All new papers)
- NEP-CBA-2010-11-27 (Central Banking)
- NEP-MAC-2010-11-27 (Macroeconomics)
- NEP-MON-2010-11-27 (Monetary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- van der Cruijsen, Carin & Demertzis, Maria, 2007.
"The impact of central bank transparency on inflation expectations,"
European Journal of Political Economy,
Elsevier, vol. 23(1), pages 51-66, March.
- Carin van der Cruijsen & Maria Demertzis, 2005. "The Impact of Central Bank Transparency on Inflation Expectations," DNB Working Papers 031, Netherlands Central Bank, Research Department.
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