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Forecast Disagreement and the Inflation Outlook: New International Evidence

Pierre Siklos ()

No 16-E-03, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: Short-term inflation forecast disagreement in nine advanced economies is examined. Domestic versus global determinants are considered. Disagreement is evaluated vis-à-vis several benchmarks. An indicator of central bank communication is added. A quasi-confidence interval for disagreement is also estimated. Disagreement is sensitive to the chosen group of forecasters examined. The GFC led to a spike in inflation forecast disagreement that was short- lived. Forecast disagreement can be reasonably seen as a variable that can change abruptly from high to low disagreement regimes. Furthermore, low and high levels of forecast disagreement can coexist with high levels of uncertainty. There is a global component in forecast disagreement but domestic determinants appear to be of first order importance. There appear to be relatively few indications that forecasts are coordinated with those of central banks with the possible exception of professional forecasters. Finally, central bank communication appears to play an only small role in explaining forecast disagreement.

Keywords: forecast disagreement; inflation; central bank communication (search for similar items in EconPapers)
JEL-codes: E52 E58 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2016-03
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