The Camp View of Inflation Forecasts

Felix Geiger, Oliver Sauter and Kai Schmid

No 320/2009, Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim from Department of Economics, University of Hohenheim, Germany

Abstract: Analyzing sample moments of survey forecasts, we derive disagreement and un- certainty measures for the short- and medium term inflation outlook. The latter provide insights into the development of inflation forecast uncertainty in the context of a changing macroeconomic environment since the beginning of 2008. Motivated by the debate on the role of monetary aggregates and cyclical variables describing a Phillips-curve logic, we develop a macroeconomic indicator spread which is assumed to drive forecasters’ judgments. Empirical evidence suggests procyclical dynamics between disagreement among forecasters, individual forecast uncertainty and the macro-spread. We call this approach the camp view of inflation forecasts and show that camps form up whenever the spread widens.

Keywords: monetary policy; survey forecasts; inflation uncertainty; heterogenous beliefs and expectations; monetary aggregates (search for similar items in EconPapers)
JEL-codes: E47 E51 E52 E58 E66 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2009-12
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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Citations: View citations in EconPapers (3)

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