Sehr geehrte Damen und Herren!

Anbei übermitteln wir Ihnen die Einladung zu einem VOSTA-Freitagsseminar von Emanuel Mönch, Deutsche Bundesbank, mit dem Titel “Fundamental Disagreement”

Termin

Freitag, 26. Juni 2015, 11.00 Uhr

Ort

Oesterreichische Nationalbank

Otto-Wagner-Platz 3, 1090 Wien

Veranstaltungssaal, EG

Abstract

We use the term structure of disagreement of professional forecasters to document a novel set of facts: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement differs markedly across variables: it is downward sloping for real output growth, relatively flat for inflation, and upward sloping for the federal funds rate; (3) disagreement is time varying at all horizons, including the long run. These new facts present a challenge to benchmark models of expectation formation based on informational frictions. We show that these models require two additional ingredients to match the entire term structure of disagreement: First, agents must disentangle low-frequency shifts in the fundamentals of the economy from short-term fluctuations. Second, agents must take into account the dynamic interactions between variables when forming forecasts. While models enriched with these features capture the observed term structure of disagreement irrespective of the source of the informational friction, they fall short at explaining the time-variance of disagreement at medium- and long-term horizons. We also use the term structure of disagreement to analyze the monetary policy rule perceived by professional forecasters and show that it features a high degree of interest-rate smoothing and time variation in the intercept.

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Mit freundlichen Grüßen

Event-Management

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Oesterreichische Nationalbank

Abteilung für Öffentlichkeitsarbeit und Finanzbildung

Communications and Financial Literacy Division

Phone:  +43-1-404 20-6620

Fax:      +43-1-404 20-04 6697

E-mail:  Event-Management@oenb.at