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Do macroeconomic announcements move inflation forecasts?

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  • Marlene Amstad
  • Andreas M. Fischer

Abstract

This paper presents an empirical strategy that bridges the gap between event studies and macroeconomic forecasts based on common-factor models. Event studies examine the response of financial variables to a market-sensitive \\"surprise\\" component using a narrow event window. The authors argue that these features - narrow event window and surprise component - can be easily embedded in common-factor models that study the real-time impact of macroeconomic announcements on key policy variables such as inflation or gross domestic product growth. Demonstrative applications are provided for Swiss inflation that show that (i) the communication of monetary policy announcements generates an asymmetric response for inflation forecasts, (ii) the pass-through effect of import price releases on inflation forecasts is weak, and (iii) macroeconomic releases of real and nominal variables generate nonsynchronized effects for inflation forecasts.

Suggested Citation

  • Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 507-518.
    • Handle: RePEc:fip:fedlrv:y:2009:i:sep:p:507-518:n:v.91no.5,pt.2
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Marlene Amstad & Ye Huan & Guonan Ma, 2014. "Developing an underlying inflation gauge for China," BIS Working Papers 465, Bank for International Settlements.
    2. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
    3. repec:zbw:bofitp:2018_011 is not listed on IDEAS
    4. Marlene Amstad & Simon M. Potter & Robert W. Rich, 2017. "The New York Fed Staff Underlying Inflation Gauge (UIG)," Economic Policy Review, Federal Reserve Bank of New York, issue 23-2, pages 1-32.
    5. Amstad, Marlene & Ye, Huan & Ma, Guonan, 2018. "Developing an underlying inflation gauge for China," BOFIT Discussion Papers 11/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
    6. Marlene Amstad & Simon M. Potter, 2009. "Real time underlying inflation gauges for monetary policymakers," Staff Reports 420, Federal Reserve Bank of New York.
    7. Marlene Amstad & Simon M. Potter & Robert W. Rich, 2014. "The FRBNY staff underlying inflation gauge: UIG," Staff Reports 672, Federal Reserve Bank of New York.

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    Inflation (Finance); Forecasting;

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