Monetary policy announcements and expectations: the case of Mexico

Ana Aguilar, Carlo Alcaraz Pribaz (), Victoria Nuguer and Jessica Roldán-Peña

No 1026, BIS Working Papers from Bank for International Settlements

Abstract: In this paper we study the effects of Mexico's Central Bank monetary policy decisions on the expectations about inflation and monetary policy rate expectations of private forecasters. We estimate a fixed effect model at analyst level using a panel of professional forecasters from 2010 to 2017. We study the differences in expectations before and after a monetary policy announcement and we compare them when there are no announcements. We find that professional forecasters "listen" to the central bank, i.e. the changes in their short-run expectations are different when there are monetary policy announcements. Also, we find that analysts' surprises in realized inflation affect short-term inflation expectations but do not affect long-term inflation expectations suggesting anchored inflation expectations. Aditionally, monetary policy surprises have an impact on end-of-the-year inflation expectations and reference rate expectations.

Keywords: central bank communication; survey microdata; monetary policy interest rate expectations (search for similar items in EconPapers)
JEL-codes: C83 D84 E43 E59 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2022-06
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
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