Monetary policy announcements and expectations: the case of Mexico
Carlo Alcaraz Pribaz (),
Victoria Nuguer and
No 1026, BIS Working Papers from Bank for International Settlements
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
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:1026
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