Forecasting ECB monetary policy: Accuracy is a matter of geography
Monetary policy in the euro area is conducted within a multi-country, multi-cultural, and multi-lingual context. How does this heterogeneity affect the ability of economic agents to understand and to anticipate monetary policy by the European Central Bank (ECB)? Using a database of surveys of professional ECB policy forecasters in 24 countries, we find remarkable differences in forecast accuracy, and show that these have important repercussions on market behaviour. Explaining the differences in forecast accuracy, we provide evidence that they are partly related to geography and clustering around informational hubs, as well as to country-specific economic conditions. In large part this heterogeneity can be traced to differences in forecasting models.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- Strauss-Kahn, Vanessa & Vives, Xavier, 2005.
"Why and Where do Headquarters Move?,"
CEPR Discussion Papers
5070, C.E.P.R. Discussion Papers.
- Tomas Dvorak, 2001.
"Do Domestic Investors Have an Information Advantage? Evidence from Indonesia,"
Center for Development Economics
168, Department of Economics, Williams College.
- Tomas Dvorak, 2001. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Department of Economics Working Papers 2001-04, Department of Economics, Williams College.
- Kenneth A. Froot & Jeremy C. Stein, 1991. "Exchange Rates and Foreign Direct Investment: An Imperfect Capital Markets Approach," The Quarterly Journal of Economics, Oxford University Press, vol. 106(4), pages 1191-1217.
- Gordon, Roger H & Bovenberg, A Lans, 1996.
"Why Is Capital So Immobile Internationally? Possible Explanations and Implications for Capital Income Taxation,"
American Economic Review,
American Economic Association, vol. 86(5), pages 1057-75, December.
- Gordon, R.H. & Bovenberg, A.L., 1994. "Why Is Capital So Immobile Internationally?: Possible Explanations and Implications for Capital Income Taxation," Working Papers 358, Research Seminar in International Economics, University of Michigan.
- Roger H. Gordon & A. Lans Bovenberg, 1994. "Why is Capital so Immobile Internationally?: Possible Explanations and Implications for Capital Income Taxation," NBER Working Papers 4796, National Bureau of Economic Research, Inc.
- Gordon, R.H. & Bovenberg, A.L., 1994. "Why is capital so immobile internationally? : Possible explanations and implications for capital income taxation," Discussion Paper 1994-63, Tilburg University, Center for Economic Research.
- Rudi Dornbusch & Carlo Favero & Francesco Giavazzi, 1998. "Immediate challenges for the European Central Bank," Economic Policy, CEPR;CES;MSH, vol. 13(26), pages 15-64, 04.
- Bovenberg, A.L. & Gordon, R.H., 1996. "Why is capital so immobile internationally? Possible explanation and implications for capital income taxation," Other publications TiSEM 6a131c21-fd9a-4d83-8d9a-7, Tilburg University, School of Economics and Management.
- Stephan Sauer & Jan-Egbert Sturm, 2007. "Using Taylor Rules to Understand European Central Bank Monetary Policy," German Economic Review, Verein für Socialpolitik, vol. 8, pages 375-398, 08.
- Tomás Dvorák, 2005. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Journal of Finance, American Finance Association, vol. 60(2), pages 817-839, 04.
- Krugman, Paul, 1998. "What's New about the New Economic Geography?," Oxford Review of Economic Policy, Oxford University Press, vol. 14(2), pages 7-17, Summer.
- Bae, Kee-Hong & Stulz, René M. & Tan, Hongping, 2008.
"Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts,"
Journal of Financial Economics,
Elsevier, vol. 88(3), pages 581-606, June.
- Bae, Kee-Hong & Stulz, Rene M. & Tan, Hongping, 2006. "Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts," Working Paper Series 2005-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Kee-Hong Bae & Rene M. Stulz & Hongping Tan, 2005. "Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts," NBER Working Papers 11697, National Bureau of Economic Research, Inc.
- Harald Hau, 2001. "Location Matters: An Examination of Trading Profits," Journal of Finance, American Finance Association, vol. 56(5), pages 1959-1983, October.
- Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2006.
"Forecasting ECB monetary policy: accuracy is (still) a matter of geography,"
2006/11, Free University Berlin, School of Business & Economics.
- Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2006. "Forecasting ECB monetary policy: accuracy is (still) a matter of geography," Working Paper Series 0578, European Central Bank.
- Michael Ehrmann & Marcel Fratzscher & Helge Berger, 2006. "Forecasting ECB Monetary Policy: Accuracy is (Still) a Matter of Geography," IMF Working Papers 06/41, International Monetary Fund.
- Gary A S Cook & Naresh R Pandit & Jonathan V Beaverstock & Peter J Taylor & Kathy Pain, 2007. "The role of location in knowledge creation and diffusion: evidence of centripetal and centrifugal forces in the City of London financial services agglomeration," Environment and Planning A, Pion Ltd, London, vol. 39(6), pages 1325-1345, June.
- Portes, Richard & Rey, Helene & Oh, Yonghyup, 2001. "Information and capital flows: The determinants of transactions in financial assets," European Economic Review, Elsevier, vol. 45(4-6), pages 783-796, May.
- Gordon L. Clark, 2002. "London in the European financial services industry: locational advantage and product complementarities," Journal of Economic Geography, Oxford University Press, vol. 2(4), pages 433-453, October.
- Michael Ehrmann & Marcel Fratzscher, 2005.
"Equal Size, Equal Role? Interest Rate Interdependence Between the Euro Area and the United States,"
Royal Economic Society, vol. 115(506), pages 928-948, October.
- Michael Ehrmann & Marcel Fratzscher, 2004. "Equal size, equal role? interest rate interdependence between the euro area and the United States," International Finance Discussion Papers 800, Board of Governors of the Federal Reserve System (U.S.).
- Ehrmann, Michael & Fratzscher, Marcel, 2003. "Equal size, equal role? Interest rate interdependence between the Euro area and the United States," CFS Working Paper Series 2003/46, Center for Financial Studies (CFS).
- Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 0092, European Central Bank.
- Joshua D. Coval & Tobias J. Moskowitz, 1999. "Home Bias at Home: Local Equity Preference in Domestic Portfolios," Journal of Finance, American Finance Association, vol. 54(6), pages 2045-2073, December.
- Ignazio Angeloni & Michael Ehrmann, 2003. "Monetary transmission in the euro area: early evidence," Economic Policy, CEPR;CES;MSH, vol. 18(37), pages 469-501, October.
- Rudiger Dornbusch & Carlo A. Favero & Francesco Giavazzi, 1998. "The Immediate Challenges for the European Central Bank," NBER Working Papers 6369, National Bureau of Economic Research, Inc.
- Christopher J. Malloy, 2005. "The Geography of Equity Analysis," Journal of Finance, American Finance Association, vol. 60(2), pages 719-755, 04.
- Ilian Mihov, 2001. "Monetary policy implementation and transmission in the European Monetary Union," Economic Policy, CEPR;CES;MSH, vol. 16(33), pages 369-406, October.
- Welch, Ivo, 2000. "Herding among security analysts," Journal of Financial Economics, Elsevier, vol. 58(3), pages 369-396, December.
When requesting a correction, please mention this item's handle: RePEc:eee:eecrev:v:53:y:2009:i:8:p:1028-1041. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.