Inflation Forecasts and Monetary Policy

Bernanke, Ben; Woodford, Michael

doi:10.3386/w6157

Cited by 268 publications

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“…Let us concentrate initially on our optimized rules along with the Taylor rule to provide some context for the robust learnable rules. The lagged data rule, shown in row (1), and the contemporaneous data rule, (2), are essentially the same. They both feature very small feedback on the output gap, and strong responses to inflation.…”

mentioning

confidence: 71%

“…Among the many, more recent references in this large literature are Sack [40], Orphanides et al [38], Soderstrom [42] and Ehrmann and Smets [16]. 2 See, e.g., Levin et al [28] and [29]. 3 Hansen and Sargent [26] and [27], Tetlow and von zur Muehlen [46] and Coenen [13].…”

Section: Introductionmentioning

confidence: 99%

“…Bernanke and Woodford [2] argue that inflation-forecast-based (IFB) policy rules-that is, rules that feed back on forecasts of future output or inflation-can lead to indeterminacy in linear rational expectations (LRE) models.…”

Section: Introductionmentioning

confidence: 99%

“…1 The second strand focuses on comparing rules in rival models to see if their performance spanned reasonable sets of alternative worlds. 2 The third considers robustifying policy against unknown alternative worlds, usually by invoking robust control methods. 3 At roughly the same time, another literature was developing on the learnability (or Estability) of models.…”

Section: Introductionmentioning

confidence: 99%

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Robustifying learnability

Tetlow

Muehlen

2009

Journal of Economic Dynamics and Control

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mentioning

confidence: 71%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Robustifying learnability

Tetlow

Muehlen

2009

Journal of Economic Dynamics and Control

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“…Because the model used in this article emphasises forward-looking Our analysis is concerned with the role that the central bank's own forecasts play in setting monetary policy. Accordingly, we are not analysing any problems associated with the central bank's use of outside forecasts, as considered in Bernanke and Woodford (1997). behaviour of the private sector, this drawback of modelling the use of forecasts via a speci¿c form of feedback rule is particularly pertinent. Batini and Nelson (2000) de¿ne the concept of the optimal policy horizon as the welfare-optimal horizon within which inÀation should be returned to its target level following a shock, as distinct from the optimal feedback horizon, which is the optimal horizon according to the Batini-Haldane de¿nition.…”

Section: Introductionmentioning

confidence: 99%

Forecast-based Monetary Policy

Amato

Laubach

2000

SSRN Journal

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Fax: +41 61 / 280 91 00 and +41 61 / 280 81 00This publication is available on the BIS website (www.bis.org). This article analyses the welfare consequences of delegating to the central bank the task of minimising deviations of forecasts of goal variables from their target values. The delegated objectives considered in this article are motivated by the observation that central banks oftentimes operate under objectives which do not necessarily represent society's preferences. The analysis is performed using an estimated model of optimising households and firms that generates tradeoffs between stabilising wage and price inflation and the output gap. We find that when the central bank's objective is defined solely in terms of price inflation, it is welfare optimal to stabilise only those fluctuations in price inflation that are forecastable at least five quarters ahead. On the other hand, when the central bank's objective involves both wage and price inflation stabilisation, the central bank should stabilise all fluctuations in these variables, not just those forecastable at some horizon. © Bank for

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Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures

Mendonça

Garcia

Vicente

2021

Journal of Forecasting

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The aim of this paper is twofold. Firstly, we test the rationality of survey-based and market-based inflation expectations. Secondly, we investigate whether they indicate a different performance of the central bank in anchoring inflation expectations. Briefly, this paper verifies if inflation expectations' proxies display the same features regarding rationality and anchoring. Using data from the Brazilian market, we present robust evidence that both survey-based and market-based inflation expectations have useful content to explain realized inflation. Moreover, we find that these proxies of inflation expectations provide different assessments of the central bank's ability to anchor inflation expectations. The findings point out that central banks must monitor both survey-based and market-based inflation expectations to improve their monetary policy conduct.

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Inflation Forecasts and Monetary Policy

Cited by 268 publications

References 0 publications

Robustifying learnability

Robustifying learnability

Forecast-based Monetary Policy

Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures

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