Sources of disagreement in inflation forecasts: An international empirical investigation ¬リニ

نویسنده

  • Pierre L. Siklos
چکیده

a r t i c l e i n f o Central to the conduct of monetary policy are inflation forecasts. Inflation forecasts are not unique. Central banks and professional organizations generate inflation forecasts while households are surveyed about their inflation outlook. This paper estimates inflation forecast disagreement for nine economies over the 1999–2009 period, five of which target inflation. I find that central bank transparency tends to increase forecast disagreement. To the extent this reflects the attention paid to inflation performance the implication is that transparency is beneficial. Moreover, this finding does not appear to be a feature that applies only to central banks that must adhere to an inflation target. Inflation forecasts lie at the heart of a central bank's monetary policy strategy. A wide variety of forecasts are published and they reflect differences not only in views about the future but are based on different information sets, as well as being more or less sensitive to the regular arrival of macroeconomic news. Not surprisingly then, there exists considerable scope for forecasters to disagree. Nevertheless, Leduc et al. (2009) point out that the concept of forecast disagreement is frequently overlooked by observers who track aggregate economic activity. There are comparatively few attempts to measure, let alone explain, how and why forecasters disagree. Why should we be interested in inflation forecast disagreement? Bernanke (2008, 2007) offers an explanation when he observes that economists have yet to fully grasp the dynamics of inflation expectations. Indeed, he suggests (Bernanke, 2007) that expectations can change, " …depending on economic developments and (most importantly) the current and past conduct of monetary policy. " The present study begins with the observation that the sensitivity of various inflation forecasts to incoming economic developments and institutional considerations can differ. Unlike similar studies which examine the range of forecasts from a single source, this paper argues that researchers should analyze a wider array of forecast types. By estimating inflation forecast disagreement based on different sources, such as professional forecasts, central bank, and survey-based forecasts, observers can determine, for example, the roles played by central bank transparency and the choice of the monetary policy strategy. Similarly, it is also useful to ask to what extent inflation forecast disagreement is driven by domestic factors as opposed to global considerations. Both are no doubt reflected in realized inflation and most central banks have come to the conclusion that international influences …

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تاریخ انتشار 2015