Sources of disagreement in inflation forecasts: An international empirical investigation

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...

Full description

Saved in:
Bibliographic Details
Published in:Journal of international economics 2013-05, Vol.90 (1), p.218-231
Main Author: Siklos, Pierre L.
Format: Article
Language:English
Subjects:
Accountability
Central bank transparency
Central banks
Economic forecasts
Economic planning
Economic policy
Forecast disagreement
Inflation
Inflation targeting
International
International economics
Monetary policy
Panel regression
Quantile regression
Studies
Transparency
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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. ► Understanding why forecast disagreement changes through time is important. ► The focus on varieties of forecasts yields new insights about how expectations are formed. ► There is more work needed on a theory of forecast disagreement. ► Central bank transparency is the single most consistent determinant of forecast disagreement.
ISSN:0022-1996
1873-0353
DOI:10.1016/j.jinteco.2012.09.005