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Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation

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  • Pierre L. Siklos

    (Professor, Wilfrid Laurier University (E-mail: psiklos@wlu.ca))

Abstract

Central 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 Info

Paper provided by Institute for Monetary and Economic Studies, Bank of Japan in its series IMES Discussion Paper Series with number 10-E-26.

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Date of creation: Nov 2010
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Handle: RePEc:ime:imedps:10-e-26

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Keywords: forecast disagreement; central bank transparency; inflation; quantile regression; panel regression;

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  1. Carin van der Cruijsen & Maria Demertzis, 2005. "The Impact of Central Bank Transparency on Inflation Expectations," DNB Working Papers, Netherlands Central Bank, Research Department 031, Netherlands Central Bank, Research Department.
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