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Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation


  • Pierre L. Siklos

    (Professor, Wilfrid Laurier University (E-mail:


Central to the conduct of monetary policy is the preparation and evaluation of inflation forecasts. Inflation forecast are, however, not unique. Central banks, professional organizations, international institutions, households and firms also generate forecasts of inflation, among other macroeconomic variables that reflect the expected state of the economy. This paper estimates inflation forecast disagreement for nine economies, five of which target inflation over the 1999-2009 period. I find that central bank transparency tends to increase forecast disagreement. To the extent that this reflects the attention paid to inflation performance this suggests that transparency is beneficial. Also, it appears that inflation forecasts are largely driven by a global component but the impact of this global component on forecast disagreement is mixed.

Suggested Citation

  • Pierre L. Siklos, 2010. "Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation," IMES Discussion Paper Series 10-E-26, Institute for Monetary and Economic Studies, Bank of Japan.
  • Handle: RePEc:ime:imedps:10-e-26

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    References listed on IDEAS

    1. van der Cruijsen, Carin & Demertzis, Maria, 2007. "The impact of central bank transparency on inflation expectations," European Journal of Political Economy, Elsevier, vol. 23(1), pages 51-66, March.
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    More about this item


    forecast disagreement; central bank transparency; inflation; quantile regression; panel regression;

    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
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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