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Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters

Glas, Alexander ; Hartmann, Matthias

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Abstract

We analyze the determinants of average individual inflation uncertainty and disagreement based on data from the European Central Bank's Survey of Professional Forecasters. We empirically confirm the implication from a theoretical decomposition of inflation uncertainty 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.

Item Type: Working paper
Series Name: Discussion Paper Series, University of Heidelberg, Department of Economics
Volume: 0612
Place of Publication: Heidelberg
Date Deposited: 15 Mar 2016 13:30
Date: March 2016
Number of Pages: 40
Faculties / Institutes: The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics
Subjects: 330 Economics
Uncontrolled Keywords: Inflation uncertainty, Disagreement, Density forecast, Central banking,Survey of Professional Forecasters.
Schriftenreihe ID: Discussion Paper Series / University of Heidelberg, Department of Economics
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