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ECB footprints on inflation forecast uncertainty

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  • Svetlana Makarova

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Abstract

The main scope of the paper is to evaluate the hypothesis that the monetary policy of the European Central Bank leads to convergence in bank-induced effects in inflation forecast uncertainty for euro area countries. Inflation forecast uncertainty is measured by the root mean squared pseudo ex-post errors of inflation forecasts net of the ARCH-GARCH effects. A bootstrap-type test is proposed for testing convergence of growth of the cross-country uncertainty ratio, understood as the fraction of the estimated policy effects in inflation uncertainty. Results obtained from monthly data for 16 countries for the period January 1991 to November 2014 and with forecast horizons from 1 to 18 months show strong evidence of such convergence among the euro area countries to a common leve

Suggested Citation

  • Svetlana Makarova, 2016. "ECB footprints on inflation forecast uncertainty," Bank of Estonia Working Papers wp2016-5, Bank of Estonia, revised 19 Jul 2016.
  • Handle: RePEc:eea:boewps:wp2016-5
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    File URL: http://www.eestipank.ee/sites/eestipank.ee/files/publication/en/WorkingPapers/2016/wp05_2016.pdf
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    References listed on IDEAS

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    Keywords

    inflation ex-post uncertainty; monetary policy; country effects; inflation forecasting;

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • O57 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries

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