Measuring disagreement in UK consumer and central bank inflation forecasts, February 2011
نویسندگان
چکیده
We provide a new perspective on disagreement in ination expectations by examining the full probability distributions of UK consumer ination forecasts based on an adaptive bootstrap multimodality test. Furthermore, we compare the ination forecasts of the Bank of Englands Monetary Policy Committee (MPC) with those of UK consumers, for which we use data from the 2001-2007 February GfK NOP consumer surveys. Our analysis indicates substantial disagreement among UK consumers, and between the MPC and consumers, concerning one-year-ahead ination forecasts. Such disagreement persisted throughout the sample, with no signs of convergence, consistent with consumers ination expectations not being well-anchored in the sense of matching the central banks expectations. UK consumers had far more diverse views about future ination than the MPC. It is possible that the MPC enjoyed certain information advantages which allowed it to have a narrower range of ination forecasts. Keywords: Adaptive kernel method, adaptive multimodality test, consumer survey, ination forecasts, nonparametric density estimation. JEL Classi cation: C14, C82, E31, E58 The views expressed in this paper belong to the authors and do not represent those of the Bank for International Settlements (BIS). We would like to thank seminar participants at the BIS for helpful comments.
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