| Creators: |
Glas, Alexander and Hartmann, Matthias |
| Title: |
Inflation uncertainty, disagreement and monetary policy: Evi-dence from the ECB Survey of Professional Forecasters |
| Item Type: |
Article or issue of a publication series |
| Journal or Series Title: |
Journal of Empirical Finance |
| Page Range: |
pp. 215-228 |
| Date: |
December 2016 |
| Divisions: |
Wirtschaftswissenschaften |
| Abstract (ENG): |
We analyze the determinants of average individual inflation uncertainty and the cross-sectional variance of point forecasts (“disagreement”) based on data from the European Central Bank's Survey of Professional Forecasters. We empirically confirm the implication from a theoretical variance decomposition that disagreement is an incomplete approximation to overall uncertainty. Both measures are associated with macroeconomic conditions and indicators of monetary policy, but the relations differ qualitatively. In particular, average individual inflation uncertainty is higher during periods of expansionary monetary policy, whereas disagreement rises during contractionary periods. This implies that conclusions based on disagreement as a single indicator of ex ante uncertainty are incomplete and potentially misleading. |
| Forthcoming: |
No |
| Language: |
English |
| Citation: |
Glas, Alexander and Hartmann, Matthias
(2016)
Inflation uncertainty, disagreement and monetary policy: Evi-dence from the ECB Survey of Professional Forecasters.
Journal of Empirical Finance, 39 (B).
pp. 215-228.
ISSN 0927-5398
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