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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012249767
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Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates
Cao, Shuo - 2020
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012828049
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Nominal GDP futures targeting
Sumner, Scott B. - In: Journal of financial stability 17 (2015), pp. 65-75
Persistent link: https://www.econbiz.de/10011574068
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Does My Model Predict a Forward Guidance Puzzle?
Gibbs, Christopher - 2020
We provide sufficient conditions for when a rational expectations structural model predicts bounded responses of endogenous variables to forward guidance announcements. The conditions coincide with a special case of the well-known (E)xpectation-stability conditions that govern when agents can...
Persistent link: https://www.econbiz.de/10012827118
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Information acquisition ahead of monetary policy announcements
Ehrmann, Michael; Hubert, Paul - 2023
How do financial markets acquire information about upcoming monetary policy decisions, beyond their reaction to central bank signals? This paper hypothesises that sharing information among investors can improve expectations, especially in the presence of disagreement or uncertainty about the...
Persistent link: https://www.econbiz.de/10013547894
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Inattentive Inference
Graeber, Thomas - 2020
This paper studies how people make inference about a state of the world when the information structure includes additional, payoff-irrelevant states. For example, learning about effort from observed performance may require accounting for the otherwise irrelevant role of luck. This creates an...
Persistent link: https://www.econbiz.de/10012827647
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Forward Guidance with Unanchored Expectations
Eusepi, Stefano; Gibbs, Christopher; Preston, Bruce - 2021
We study zero interest-rate policy in response to a large negative demand shock when long-run expectations can fall over time. Because falling expectations make monetary policy less effective by raising real interest rates, the optimal forward guidance policy makes large front-loaded promises to...
Persistent link: https://www.econbiz.de/10013214045
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The term structure of expectations
Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel; … - 2021
Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using … predicts a link between revisions in long-run expectations to short-term forecast errors. In structural models, learning about …
Persistent link: https://www.econbiz.de/10012660381
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Inflation expectations and their role in Eurosystem forecasting
2021
bring forecast gains when included in forecasting models and can also inform scenario and risk analysis in projection …) exploring the role that measures of expectations can play in forecasting inflation. While it is households' and firms' inflation … can play in forecasting inflation, this paper finds that they are indicative for future inflationary developments. When it …
Persistent link: https://www.econbiz.de/10012626673
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The Informational Content of Prices When Policy Makers React to Financial Markets
Siemroth, Christoph - 2018
When can policy makers use policy-relevant information from financial market prices and how does policy affect price informativeness? I analyze a novel setting with noise where a policy maker tries to infer information about a state variable from prices to improve policy decisions, and policy in...
Persistent link: https://www.econbiz.de/10012937900