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Forecast Disagreement and the Inflation Outlook: New International Evidence

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  • Pierre L. Siklos

    (Lazaridis School of Business and Economics, Balsillie School of International Affairs, Wilfrid Laurier University (E-mail: psiklos@wlu.ca))

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.

Suggested Citation

  • Pierre L. Siklos, 2016. "Forecast Disagreement and the Inflation Outlook: New International Evidence," IMES Discussion Paper Series 16-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    • Handle: RePEc:ime:imedps:16-e-03
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    File URL: http://www.imes.boj.or.jp/research/papers/english/16-E-03.pdf
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    References listed on IDEAS

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    2. Ryan Niladri Banerjee & Aaron Mehrotra, 2018. "Deflation expectations," BIS Working Papers 699, Bank for International Settlements.

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    More about this item

    Keywords

    forecast disagreement; inflation; central bank communication;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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