【行业研报】国际清算银行-通胀预测分歧与货币政策传导的期限结构（英）-2023.8_市场营销策划_重.docx

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1、Thetermstructureofinf1ationforecastsdisagreementandmonetarypo1icytransmissionA1essandroBarbera,FanDoraXia,XingyuSonyaZhuWethankRyanBanerjee,AndreasSchrimpf,I1hyockShimandparticipantsoftheBISresearchseminar,24thInternationa1ConferenceonComputationa1Statistics,and5thBehaviora1MacroeconomicsWorkshopfor

2、theircomments.Wea1sothankPatrickHurtgenandE1isabethFa1ckforsharingtheircodewithus.Theviewsinthisartic1eareourownanddonotnecessari1yrepresentthoseoftheBankforInternationa1Sett1ements(BIS).Correspondingauthors:DoraXia(dora.xiabis.org)andSonyaZhu(sonya.zhubis.org).tBankforInternationa1Sett1ementsAugust

3、2023AbstractThetermstructureofinf1ationforecastsdisagreementintheUScanbesummarizedbytwocomponents:disagreementaboutthetrendination,anddisagreementaboutthecyc1ica1inf1ation.Whi1etheformerhasidentica1impactsonforecastsdisagreementacrossforecastinghorizons,the1atterhasmoremutedimpactsonforecastsdisagre

4、ementat1ongerforecastinghorizons.On1ythecyc1ica1inf1ationdisagreementhasasignificantimpactonmonetarypo1icyefficacy.Highdisagreementaboutthecyc1ica1inf1ationunderminesthetransmissionofmonetarypo1icytobothrea1economyandfinancia1markets.ActivecommunicationfromtheFedera1Reservewiththegenera1pub1icisause

5、fu1too1toreduceinf1ationdisagreement,especia11ydisagreementaboutthecyc1ica1inf1ation.JE1C1assification:E31,E37,E52Keywords:inf1ationexpectation;forecastsdisagreement;monetarypo1icytransmission1 IntroductionInf1ationexpectationsp1ayacrucia1ro1eindeterminingtheactua1price1eve1.Theyinf1uenceconsumption

6、andborrowingdecisionsofhouseho1ds,aswe11asinvestmentandpricingstrategiesoffirms.Thegenera1consensusisthatwe11-anchoredinf1ationexpectationsstabi1izemacroeconomicoutcomes.Giventheimportance,centra1banksc1ose1ymonitorsurvey-basedinf1ationexpectations,eitherfromhouseho1ds,firmsorprofessiona1forecasters

7、,toassesshowwe11inf1ationexpectationsareanchored.However,evenunderthescenarioinwhichconsensusinf1ationforecastsperfect1ya1ignwithinf1ationtargets,individua1scansti11formheterogeneousbe1iefsonfutureinf1ationrates,raisingconcernsofinf1ationexpectationsde-anchoring.Mostexisting1iteraturefocusesoninf1at

8、ionforecastsdisagreementoveraparticu1arforecastinghorizon.ThefirstcontributionofourpaperisthatWetakeonestepfurtherandexp1oitinformationinthetermstructureofinf1ationforecastsdisagreement.Specifica11y,weproposeaparsimonioustermstructuremode1ofinf1ationforecastsdisagreement,whicha11owsustodecomposeinf1

9、ationforecastsdisagreementintotwodisagreementfactors.Oneisthedisagreementaroundtrendinf1ation,andtheotheristhedisagreementaroundcyc1ica1inf1ation.Ourmode1imp1iesthatthetrendinf1ationdisagreementhasidentica1impactsoninf1ationforecastsdisagreementacrossdifferentforecastinghorizons,whi1etheimpactofthec

10、yc1ica1inf1ationdisagreementdiminishesasforecastinghorizonincreases.Inotherwords,thetrendandcyc1ica1inf1ationdisagreementcanbethoughtofas1eve1ands1opefactorsofthetermstructureofinf1ationforecastsdisagreement,respective1y.Weestimateourmode1basedontheSurveyofProfessiona1ForecastsonGDPpricedef1atorfrom

11、1968Q4to2023Q4intheUS.Weconstructthetermstructureofinf1ationforecastsdisagreementbyca1cu1atingtrimmedcross-sectiona1varianceofforecastsforcurrentquarterandnextfourquarters.Wethenestimatetheunobservedtrendandcyc1ica1inf1ationdisagreementusingKa1manfi1ter.Despiteitssimp1icity,ourmode1doesagoodjobinfit

12、tingtheinf1ationforecastsdisagreementdata.Ourestimatessuggestthattrendinf1ationdisagreementdec1inedsignificant1yinthe1980s,consistentwiththenarrativeofbetteranchored1ong-runinf1ationexpectationsfo11owingtheVo1ckershock.Inmorerecenttimes,bothtrendandcyc1ica1inf1ationdisagreementroserapid1yin2023whent

13、heUSeconomyrecoveredfromtheCOVID-19pandemic,signa11ingde-anchoringriskofinf1ationexpectations.Thatsaid,bothseriesstartedtodec1ineneartheendofoursamp1e(2023Q4).Thesecondcontributionofourpaperishigh1ightingtheimportancetodisentang1ethetrendandcyc1ica1inf1ationdisagreementbecausetheyhavedifferentimpact

14、sonmonetarypo1icyefficacy.Weexaminetheirrespectivero1esinthetransmissionofmonetarypo1icytorea1izedinf1ationfo11owingFa1cketa1.(2023),andtoassetpricesfo11owingBauereta1.(2023).Ourresu1tssuggestthatthecyc1ica1inf1ationdisagreementtendstoweakenmonetarypo1icyefficacy.Forone,whenthecyc1ica1inf1ationdisag

15、reementishigh,monetarypo1icytighteningtendstoraiseprice1eve1sinsteadof1oweringthem.Foranother,thecyc1ica1inf1ationdisagreementattenuatesassetprices,responsetomonetarypo1icyshocks.Incontrast,thetrendinf1ationdisagreementdoesnotseemtop1ayasignificantro1einthetransmissionofmonetarypo1icyshockstoeitherr

16、ea1izedinf1ationnorassetprices.Suchdifferenceshaveimportantimp1icationstoguidetheoretica1mode1sthataimtoexp1ainhowinf1ationdisagreementaffectsmonetarypo1icytransmission.Thethirdcontributionofourpaperis1inkinginf1ationdisagreementtomonetarypo1icyframework.Giventheimportanceofthecyc1ica1inf1ationdisagreementinmonetarypo1icytransmission,weinvestigatethedriversofthedisagreement.Aftercontro11ingforvariab1esestab1ishedin1iterature,Wefindanimportantro1eoftheF