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Disentangling qualitative and quantitative central bank influence

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  • Paul Hubert

    () (OFCE - OFCE - Sciences Po)

Abstract

We aim at investigating how two different types of central bank communication affect the private inflation expectations formation process. The effects of ECB inflation projections and Governing Council members’ speeches on private inflation forecasts are identified through an Instrumental-Variables estimation using a Principal Component Analysis to generate valid instruments. We find that ECB projections have an effect on private current-year forecasts, while ECB speeches and the ECB rate impact next-year forecasts. When both communication types are interacted and go in the same direction, the inflation outlook signal tends to outweigh the policy path signal conveyed to private agents (and vice-versa).

Suggested Citation

  • Paul Hubert, 2014. "Disentangling qualitative and quantitative central bank influence," Working Papers hal-01098464, HAL.
  • Handle: RePEc:hal:wpaper:hal-01098464
    Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-01098464
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    Cited by:

    1. Trabelsi, Emna, 2016. "Central bank transparency and the consensus forecast: What does The Economist poll of forecasters tell us?," Research in International Business and Finance, Elsevier, vol. 38(C), pages 338-359.
    2. repec:hal:wpaper:hal-01121434 is not listed on IDEAS
    3. Michael Ehrmann & Jonathan Talmi, 2016. "Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility," Staff Working Papers 16-37, Bank of Canada.

    More about this item

    Keywords

    European Central Bank; Monetary Policy; Central Bank Communication; ECB projections; Instrumental variables; Pincipal Component Analysis;

    JEL classification:

    • 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

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