Individual inflation forecasts and monetary policy announcements

Jakob de Haan; Kostas Mavromatis; Garyn Tan

doi:10.1016/j.econlet.2020.109602

Individual inflation forecasts and monetary policy announcements

Jakob de Haan^*, Kostas Mavromatis, Garyn Tan

^*Corresponding author for this work

Global Economics & Management

Research output: Contribution to journal › Article › Academic › peer-review

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Abstract

Using a decomposition of US monetary policy shocks and inflation forecasts from Consensus Economics, we find that information and monetary policy shocks move inflation expectations in opposite directions. Better performing forecasters appear less reliant on the informational content of announcements. (C) 2020 The Author(s). Published by Elsevier B.V.

Original language	English
Article number	109602
Number of pages	3
Journal	Economics Letters
Volume	197
DOIs	https://doi.org/10.1016/j.econlet.2020.109602
Publication status	Published - Dec-2020

Keywords

Inflation forecasts
Consensus forecasts
Monetary policy shocks
Information shocks

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10.1016/j.econlet.2020.109602Licence: CC BY

Individual inflation forecasts and monetary policy announcementsFinal publisher's version, 488 KBLicence: CC BY

Cite this

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title = "Individual inflation forecasts and monetary policy announcements",

abstract = "Using a decomposition of US monetary policy shocks and inflation forecasts from Consensus Economics, we find that information and monetary policy shocks move inflation expectations in opposite directions. Better performing forecasters appear less reliant on the informational content of announcements. (C) 2020 The Author(s). Published by Elsevier B.V.",

keywords = "Inflation forecasts, Consensus forecasts, Monetary policy shocks, Information shocks",

author = "{de Haan}, Jakob and Kostas Mavromatis and Garyn Tan",

year = "2020",

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language = "English",

volume = "197",

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AU - de Haan, Jakob

AU - Mavromatis, Kostas

AU - Tan, Garyn

PY - 2020/12

Y1 - 2020/12

N2 - Using a decomposition of US monetary policy shocks and inflation forecasts from Consensus Economics, we find that information and monetary policy shocks move inflation expectations in opposite directions. Better performing forecasters appear less reliant on the informational content of announcements. (C) 2020 The Author(s). Published by Elsevier B.V.

AB - Using a decomposition of US monetary policy shocks and inflation forecasts from Consensus Economics, we find that information and monetary policy shocks move inflation expectations in opposite directions. Better performing forecasters appear less reliant on the informational content of announcements. (C) 2020 The Author(s). Published by Elsevier B.V.

KW - Inflation forecasts

KW - Consensus forecasts

KW - Monetary policy shocks

KW - Information shocks

U2 - 10.1016/j.econlet.2020.109602

DO - 10.1016/j.econlet.2020.109602

M3 - Article

VL - 197

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

M1 - 109602

ER -