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  1. The bias and efficiency of the ECB inflation projections
    a state dependent analysis
    Author: Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta
    Published: [2021]
    Publisher:  Norges Bank, Oslo

    We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 673
    Inter-library loan:
    No inter-library loan

     

    We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are unbiased and efficient on average, however there is evidence of state dependence. In particular, the ECB tends to overpredict (underpredict) inflation at intermediate forecast horizons when inflation is below (above) target. The magnitude of the bias is larger when inflation is above the target. These results hold even after accounting for errors in the external assumptions. We also find evidence of inefficiency, in the form of underreaction to news, but only when inflation is above the target. Our findings bear important implications for the ECB forecasting process and ultimately for its communication strategy.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788283791891
    Other identifier:
    hdl: 11250/2755864
    hdl: 10419/246122
    Series: Working paper / Norges Bank ; 2021, 1
    Subjects: Forecast Evaluation; Forecast Efficiency; Inflation Forecasts; Central Bank Communication
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. The bias and efficiency of the ECB inflation projections
    a state dependent analysis
    Author: Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta
    Published: 29 April 2021
    Publisher:  Bank of Finland, Helsinki

    We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 685
    Inter-library loan:
    No inter-library loan

     

    We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are unbiased and efficient on average, however there is evidence of state dependence. In particular, the ECB tends to overpredict (underpredict) inflation at intermediate forecast horizons when inflation is below (above) target. The magnitude of the bias is larger when inflation is above the target. These results hold even after accounting for errors in the external assumptions. We also find evidence of inefficiency, in the form of underreaction to news, but only when inflation is above the target. Our findings bear important implications for the ECB forecasting process and ultimately for its communication strategy.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789523233744
    Other identifier:
    hdl: 10419/240347
    Series: Bank of Finland research discussion papers ; 2021, 7
    Subjects: Forecast Evaluation; Forecast Efficiency; Inflation Forecasts; Central Bank Communication
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen