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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 disagreement based on data from the European Central Bank's Survey of Professional Forecasters. We empirically confirm the implication from a theoretical decomposition of inflation uncertainty 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.

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  • Glas, Alexander & Hartmann, Matthias, 2016. "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters," Working Papers 0612, University of Heidelberg, Department of Economics.
  • Handle: RePEc:awi:wpaper:0612
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    1. repec:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-017-1228-3 is not listed on IDEAS
    2. Oscar Claveria & Enric Monte & Salvador Torra, 2018. "“A geometric approach to proxy economic uncertainty by a metric of disagreement among qualitative expectations”," IREA Working Papers 201806, University of Barcelona, Research Institute of Applied Economics, revised Mar 2018.
    3. Njindan Iyke, Bernard & Ho, Sin-Yu, 2018. "Inflation, Inflation Uncertainty, and Growth: Evidence from Ghana," MPRA Paper 85191, University Library of Munich, Germany.

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    Keywords

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

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