{"title":"货币政策对通胀预期的影响:来自金融交易商调查的证据","authors":"Michael Pedersen","doi":"10.1016/j.econmod.2024.106778","DOIUrl":null,"url":null,"abstract":"<div><p>While financial market participants' actions are crucial for the effectiveness of the monetary policy, the literature lacks evidence on how traders form economic expectations. Studies have argued that economic agents' inflation expectations increase as a reaction to contractive monetary policy shocks, the so-called central bank (or Fed) information effect, but have not addressed the extent to which these responses are state-dependent. This study employs individual observations of more than 100 Chilean financial traders from 2010 to 2022 to analyze how they update inflation expectations in response to monetary policy surprises, when controlling for other relevant factors. The evidence indicates that traders' reactions to policy shocks depend on the actual inflation rate, suggesting a mechanism where observed inflation reflects the central bank’s credibility and, thus, affects responses to policy actions. Results show that the size of the update depends on the disagreement amongst traders and news concerning contemporaneous inflation.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.2000,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The effect of monetary policy on inflation expectations: Evidence from a financial traders survey\",\"authors\":\"Michael Pedersen\",\"doi\":\"10.1016/j.econmod.2024.106778\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>While financial market participants' actions are crucial for the effectiveness of the monetary policy, the literature lacks evidence on how traders form economic expectations. Studies have argued that economic agents' inflation expectations increase as a reaction to contractive monetary policy shocks, the so-called central bank (or Fed) information effect, but have not addressed the extent to which these responses are state-dependent. This study employs individual observations of more than 100 Chilean financial traders from 2010 to 2022 to analyze how they update inflation expectations in response to monetary policy surprises, when controlling for other relevant factors. The evidence indicates that traders' reactions to policy shocks depend on the actual inflation rate, suggesting a mechanism where observed inflation reflects the central bank’s credibility and, thus, affects responses to policy actions. Results show that the size of the update depends on the disagreement amongst traders and news concerning contemporaneous inflation.</p></div>\",\"PeriodicalId\":48419,\"journal\":{\"name\":\"Economic Modelling\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.2000,\"publicationDate\":\"2024-05-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economic Modelling\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0264999324001342\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Modelling","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0264999324001342","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
The effect of monetary policy on inflation expectations: Evidence from a financial traders survey
While financial market participants' actions are crucial for the effectiveness of the monetary policy, the literature lacks evidence on how traders form economic expectations. Studies have argued that economic agents' inflation expectations increase as a reaction to contractive monetary policy shocks, the so-called central bank (or Fed) information effect, but have not addressed the extent to which these responses are state-dependent. This study employs individual observations of more than 100 Chilean financial traders from 2010 to 2022 to analyze how they update inflation expectations in response to monetary policy surprises, when controlling for other relevant factors. The evidence indicates that traders' reactions to policy shocks depend on the actual inflation rate, suggesting a mechanism where observed inflation reflects the central bank’s credibility and, thus, affects responses to policy actions. Results show that the size of the update depends on the disagreement amongst traders and news concerning contemporaneous inflation.
期刊介绍:
Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.