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What affects the predictions of private forecasters? The role of central bank forecasts in Chile

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  • Pedersen, Michael

Abstract

This study utilizes Chilean data for analyzing the factors that affect the expectations of private forecasters (PFs), and, in particular, for determining whether they are influenced by the Central Bank of Chile’s (CBC’s) forecasts. Robust evidence suggests that short-term inflation expectations are influenced directly by the CBC’s forecasts, while the evidence is weaker for medium-term predictions. This is the case even though the CBC’s short-term inflation forecasts do not seem to contain any additional information that is of use for PFs when making their predictions. PFs’ short-term growth expectations seem to incorporate the CBC’s forecasts only when they are published in the second half of the year, when the CBC may have private information, e.g., about future data revisions.

Suggested Citation

  • Pedersen, Michael, 2015. "What affects the predictions of private forecasters? The role of central bank forecasts in Chile," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1043-1055.
  • Handle: RePEc:eee:intfor:v:31:y:2015:i:4:p:1043-1055
    DOI: 10.1016/j.ijforecast.2015.01.004
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    Citations

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    Cited by:

    1. Masazumi Hattori & Steven Kong & Frank Packer & Toshitaka Sekine, 2016. "The effects of a central bank's inflation forecasts on private sector forecasts: Recent evidence from Japan," BIS Working Papers 585, Bank for International Settlements.
    2. Tomasz Łyziak & Maritta Paloviita, 2017. "Formation of inflation expectations in turbulent times. Recent evidence from the European Survey of Professional Forecasters," NBP Working Papers 261, Narodowy Bank Polski, Economic Research Department.
    3. Łyziak, Tomasz & Paloviita, Maritta, 2017. "Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?," Research Discussion Papers 13/2017, Bank of Finland.
    4. Charemza, Wojciech & Ladley, Daniel, 2016. "Central banks’ forecasts and their bias: Evidence, effects and explanation," International Journal of Forecasting, Elsevier, vol. 32(3), pages 804-817.

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