Inflation uncertainty, disagreement and monetary policy

• Verfasst von: Glas, Alexander [VerfasserIn]
• Verfasst von: Hartmann, Matthias [VerfasserIn]
• Titel: Inflation uncertainty, disagreement and monetary policy
• Titelzusatz: Evidence from the ECB Survey of Professional Forecasters
• Verf.angabe: Alexander Glas, Matthias Hartmann
• E-Jahr: 2016
• Jahr: 31 May 2016
• Umfang: 14 S.
• Fussnoten: Gesehen am 18.06.2020
• Titel Quelle: Enthalten in: Journal of empirical finance
• Ort Quelle: [S.l.] : Elsevier Science, 1993
• Jahr Quelle: 2016
• Band/Heft Quelle: 39(2016), Seite 215-228
• ISSN Quelle: 0927-5398
• DOI: doi:10.1016/j.jempfin.2016.05.001
• Datenträger: Online-Ressource
• Sprache: eng
• Sach-SW: Central banking
• Sach-SW: Density forecast
• Sach-SW: Disagreement
• Sach-SW: Inflation uncertainty
• Sach-SW: Survey of Professional Forecasters
• K10plus-PPN: 1701040751

Abstract

We analyze the determinants of average individual inflation uncertainty and the cross-sectional variance of point forecasts (“disagreement”) based on data from the European Central Bank's Survey of Professional Forecasters. We empirically confirm the implication from a theoretical variance decomposition that disagreement is an incomplete approximation to overall uncertainty. Both measures are associated with macroeconomic conditions and indicators of monetary policy, but the relations differ qualitatively. In particular, average individual inflation uncertainty is higher during periods of expansionary monetary policy, whereas disagreement rises during contractionary periods. This implies that conclusions based on disagreement as a single indicator of ex ante uncertainty are incomplete and potentially misleading.