Do Central Bank Forecasts Matter for Professional Forecasters?
Journal Title: Finance a uver - Year 2015, Vol 65, Issue 6
Abstract
This paper examines the extent to which the information provided by a central bank affects the forecasts formulated by professional forecasters. We empirically investigate whether the disclosure of GDP and inflation forecasts by the Narodowy Bank Polski reduces disagreement in professional forecasters’ expectations. The results only partially support the hypothesis existing in the literature on the coordinating role of the central bank. The main finding is that by publishing its projection of future GDP growth, the central bank reduces the dispersion of one-year-ahead GDP forecasts. Our study indicates that the role of the central bank in reducing the forecasts’ dispersion strengthens over time. Using non-linear models, we also find that the extent to which the projection release affects the dispersion of GDP forecasts varies over the business cycle. On the contrary, the release of CPI projections affects neither the cross-sectional dispersion nor the level of forecasts formulated by professional forecasters.
Authors and Affiliations
Jacek Kotlowski
Keywords
Related Articles
- EP ID EP297550
- DOI -
- Views 122
- Downloads 0
Who Gains More Power in the EU after Brexit?
Brexit implications are analysed in most cases from the macroeconomic, financial or legal point of view while these areas are not the only ones the economists or governments should pay attention to. In this article we fo...
Pension Demand and Utility: The Life Annuity Puzzle
This paper shows by means of the concept of utility that annuitization through life annui-ties or a pension can be an efficient instrument for the economic assurance of seniors. Various quantitative arguments are present...
Estimating Probability of Informed Trading on the Bucharest Stock Exchange
Informed trading is a major concern within the domain of financial markets microstructure, as it represents a proxy for the efficient functioning of a market during a specific timeframe. The implications of whether infor...
Benefit-Retirement Age Schedules and Redistribution in Public Pension Systems
The dependence of benefits on the retirement age (the schedule) is an important feature in any public pension system. The nonfinancial defined contribution (NDC) pension system has recently become popular mainly because...
On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis
The reliability of the credit default swap market was questioned repeatedly during the EMU debt crisis. This article examines whether this development influenced sovereign EMU CDS prices in general. We regress the CDS ma...