The Role of Media for Inflation Forecast Disagreement of Households and Professional Forecasters

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in April 2009Abstract This paper investigates the effects of media coverage and macroeconomic conditions on inflation forecast disagreement of German households and professional forecasters. We adopt a Bayesian learning model in which media coverage of inflation affects forecast disagreement by influencing information sets as well as predictor choice. Our empirical results show that disagreement of households depends on the content of news stories (tone) but is unaffected by reporting intensity (volume) and by the heterogeneity of story content (information entropy). Disagreement of professionals does not depend on media coverage. With respect to the influence of macroeconomic variables we provide evidence that disagreement of households and professionals primarily depends on the current rate of inflation. JEL classification: E31, E37, D83

Consumers' Attitudes and Their Inflation Expectations

“…Subsequently, a number of contributions have studied the role of media reporting for in ‡ation expectations in more detail. Lamla and Maag (2012) analyze the e¤ect of media reporting on disagreement among forecasters, and …nd professional forecaster disagreement to be una¤ected by media coverage, whereas disagreement among households increases with higher and more diverse media coverage. Pfajfar and Santoro (2009) provide evidence that the e¤ect of news on in ‡ation expectations di¤ers across socio-economic groups, and Easaw, Golinelli, and Malgarini (2013) demonstrate that the rate at which professional forecasts are embodied in households' expectations depends on socio-economic characteristics.…”

Oczekiwania bliskie racjonalnym? Współczesne koncepcje kształtowania oczekiwań uczestników rynku / Bounded rationality of expectations? Modern hyphotheses of expectations formation of market participants

“…Przykłady badań empirycznych na modelach z lepką informacją dają niejednoznaczne wyniki -w zależności od modelu i przyjętych założeń [Branch 2007]. Teoria epidemiologicznych oczekiwań znalazła potwierdzenie, niekiedy częściowe, w badaniach empirycznych dotyczących sposobu formułowania oczekiwań przeprowadzonych dla różnych obszarów monetarnych, w tym Stanów Zjednoczonych [Pfajfar, Santoro 2006], Niemiec [Lamla, Maag 2012] czy Chin [Lei, Lu, Zhang 2015]. Badania nad adaptacyjnym uczeniem się prowadzą do wniosków o istnieniu różnych reguł uczenia [Cruijsen, Strobach 2015].…”

Disagreement la Taylor: Evidence from Survey Microdata

“…In that sense, both measures should be viable. However, the study of inflation expectations from a pentachotomous survey in Maag (2009) shows that the IQV for qualitative inflation expectations fares best in matching the corresponding standard deviation and this measure is also used in Lamla and Maag (2012) to measure disagreement. Hence, we present results for the IQV in the regression analysis and report the results using the MOV as a robustness check in the Appendix.…”

“…Additionally, disagreement is found to vary over time and is higher during recessions, in line with theories suggesting higher macroeconomic uncertainty in downturns. Lamla and Maag (2012) as well as Badarinza and Buchmann (2009) and Badarinza and Gross (2012) analyze the role of media news of both consumers' and professional forecasters' disagreement on inflation. Generally, news are found to reduce disagreement between consumers in line with hypotheses from rational inattention or Bayesian learning models, whereas professional forecasters seem more affected by macroeconomic developments.…”