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ECB footprints on inflation forecast uncertainty

Svetlana Makarova ()

No wp2016-5, Bank of Estonia Working Papers from Bank of Estonia

Abstract: The main scope of the paper is to evaluate the hypothesis that the monetary policy of the European Central Bank leads to convergence in bank-induced effects in inflation forecast uncertainty for euro area countries. Inflation forecast uncertainty is measured by the root mean squared pseudo ex-post errors of inflation forecasts net of the ARCH-GARCH effects. A bootstrap-type test is proposed for testing convergence of growth of the cross-country uncertainty ratio, understood as the fraction of the estimated policy effects in inflation uncertainty. Results obtained from monthly data for 16 countries for the period January 1991 to November 2014 and with forecast horizons from 1 to 18 months show strong evidence of such convergence among the euro area countries to a common leve

Keywords: inflation ex-post uncertainty; monetary policy; country effects; inflation forecasting (search for similar items in EconPapers)
JEL-codes: F14 F43 O57 (search for similar items in EconPapers)
Date: 2016-07-19, Revised 2016-07-19
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
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