Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation

Pierre Siklos

No 10-E-26, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: Central to the conduct of monetary policy is the preparation and evaluation of inflation forecasts. Inflation forecast are, however, not unique. Central banks, professional organizations, international institutions, households and firms also generate forecasts of inflation, among other macroeconomic variables that reflect the expected state of the economy. This paper estimates inflation forecast disagreement for nine economies, five of which target inflation over the 1999-2009 period. I find that central bank transparency tends to increase forecast disagreement. To the extent that this reflects the attention paid to inflation performance this suggests that transparency is beneficial. Also, it appears that inflation forecasts are largely driven by a global component but the impact of this global component on forecast disagreement is mixed.

Keywords: forecast disagreement; central bank transparency; inflation; quantile regression; panel regression (search for similar items in EconPapers)
JEL-codes: C53 E52 E58 (search for similar items in EconPapers)
Date: 2010-11
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (3)

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