The effect of interest rate and communication shocks on private inflation expectations

Paul Hubert

Working papers from Financialisation, Economy, Society & Sustainable Development (FESSUD) Project

Abstract: The European Central Bank publishes inflation projections quarterly. This paper aims at establishing empirically whether they influence private inflation forecasts and whether they may be considered as an enhanced means of implementing policy decisions by facilitating private agents’ information processing. We compare the effect of an ECB inflation projection shock to an ECB interest rate shock.We provide original evidence that ECB inflation projections do influence private inflation expectations positively. We find that ECB projections convey signals about future ECB rate movements. This paper suggests that ECB projections enable private agents to correctly interpret and predict policy decisions.

Keywords: Monetary Policy; ECB; Private Forecasts; Influence; Structural VAR (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2015-09-01
New Economics Papers: this item is included in nep-cba, nep-eec, nep-for, nep-mac and nep-mon
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Related works:
Journal Article: ECB Projections as a Tool for Understanding Policy Decisions (2015)
Working Paper: ECB projections as a tool for understanding policy decisions (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:fes:wpaper:wpaper122

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