Which Aspects of Central Bank Transparency Matter? Constructing a Weighted Transparency Index
AbstractIn this paper we investigate the effect of central bank transparency on survey forecasts. Similar to Ehrmann et al. (2010), we find that greater transparency can reduce the degree of disagreement across individual forecasters and it can also improve the forecasting performance of survey respondents. However, our empirical approach is more rigorous than that of Ehrmann et al. (2010) as we test both for causality and misspecification. The analysis is carried out on a panel dataset that is much richer than those used by previous studies. This unique dataset allows us to identify the effects of various aspects of transparency separately and to assign weights to them reflecting their relative importance in reducing uncertainty. Finally, we construct a new composite measure of central bank transparency using the estimated weights.
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Bibliographic InfoPaper provided by Magyar Nemzeti Bank (the central bank of Hungary) in its series MNB Working Papers with number 2012/6.
Length: 70 pages
Date of creation: 2012
Date of revision:
central bank transparency; survey forecast; weighted transparency index; dynamic panel model; overlapping observations;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-22 (All new papers)
- NEP-CBA-2012-12-22 (Central Banking)
- NEP-FOR-2012-12-22 (Forecasting)
- NEP-MON-2012-12-22 (Monetary Economics)
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- Csávás, Csaba & Erhart, Szilárd & Naszódi, Anna & Pintér, Klára, 2012. "Changing central bank transparency in Central and Eastern Europe during the financial crisis," MPRA Paper 40335, University Library of Munich, Germany.
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