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Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters

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  • Glas, Alexander
  • Hartmann, Matthias

Abstract

We analyze the determinants of average individual inflation uncertainty and the cross-sectional variance of point forecasts (“disagreement”) based on data from the European Central Bank's Survey of Professional Forecasters. We empirically confirm the implication from a theoretical variance decomposition that disagreement is an incomplete approximation to overall uncertainty. Both measures are associated with macroeconomic conditions and indicators of monetary policy, but the relations differ qualitatively. In particular, average individual inflation uncertainty is higher during periods of expansionary monetary policy, whereas disagreement rises during contractionary periods. This implies that conclusions based on disagreement as a single indicator of ex ante uncertainty are incomplete and potentially misleading.

Suggested Citation

  • Glas, Alexander & Hartmann, Matthias, 2016. "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters," Journal of Empirical Finance, Elsevier, vol. 39(PB), pages 215-228.
  • Handle: RePEc:eee:empfin:v:39:y:2016:i:pb:p:215-228
    DOI: 10.1016/j.jempfin.2016.05.001
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    8. López-Pérez, Víctor, 2016. "Does uncertainty affect non-response to the European Central Bank's survey of professional forecasters?," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 10, pages 1-47.
    9. Alexander Glas & Matthias Hartmann, 2020. "Uncertainty measures from partially rounded probabilistic forecast surveys," Working Papers 427, University of Milano-Bicocca, Department of Economics, revised Jan 2020.
    10. Nima Nonejad, 2019. "Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 246-276, May.
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    15. Oscar Claveria & Enric Monte & Salvador Torra, 2019. "Economic Uncertainty: A Geometric Indicator of Discrepancy Among Experts’ Expectations," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 143(1), pages 95-114, May.
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    17. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    18. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," Center for European, Governance and Economic Development Research Discussion Papers 358, University of Goettingen, Department of Economics.
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    More about this item

    Keywords

    Inflation uncertainty; Disagreement; Density forecast; Central banking; Survey of Professional Forecasters;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • 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
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes

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