Do central banks forecast influence private agents ? Forecasting performance vs. signals

Focusing on a set of central banks that publish their internal macroeconomic forecasts in real time enables one to shed light on the expectations channel of monetary policy. The main contribution of this paper is to assess whether central bank forecasts influence private forecasts. The response is positive for inflation forecasts in Sweden, the UK and Japan. To disentangle the sources of influence of central banks, two concepts are proposed: endogenous influence, which is due to more accurate central bank forecasts, and exogenous influence, which is due to central bank signals on either future policy decisions or private information. Original empirical evidence on the central bank forecasting performance relative to private agents is provided, and estimates show that in Sweden, more accurate inflation forecasts generate specific central bank influence that is different from the influence from signals. The publication of forecasts may therefore refer to two central banking strategies that aim to shape private expectations: forecasting or policymaking.Monetary Policy; Imperfect Information; Communication; Endogenous Influence; Exogenous Influence.

Has the Adoption of Inflation Targeting Represented a Regime Switch? Empirical evidence from Canada, Sweden and the UK

Since 1990, a growing number of countries have adopted inflation targeting (IT) around the world. Empirical evidence on its advantages has been mixed so far, and most assessments have been based on a control group methodology. In this paper, using a MSVAR technique, we assess the adoption of IT in three industrialised countries over time; in addition, we compare their outcomes with a non-IT country, the US. Results are manifold. First, an inflation targeting regime exists, although it does not constitute a change in monetary policy reaction. Second, this conclusion is robust on a subsample excluding the periods of high inflation and early sharp disinflation. Third, the sacrifice ratio of higher output volatility generally attributed to inflation stabilisation policies is not sensitive to the adoption of inflation targeting. Fourth, this framework is shown to be conducive to higher monetary policy leeway.Inflation targeting; MSVAR; Counterfactuals.

Country size, Growth and Volatility

What are the effects of country size on growth and business cycle volatility? To investigate this question, previously asked by Rose (2006) and Furceri and Karras (2007), we developed an original country-size index with principal component analysis (PCA). Traditional analysis of this topic usually only includes the population. Our methodology enables us to simultaneously consider the countries’ population, GDP and arable land. The inclusion of these additional variables allows us to analyse different components of country size and to control for more than a merely demographic effect. Using a panel data set of 163 countries for 1960-2007, we find, contrary to Rose (2006), that country size has a significant and negative impact on economic performance. Our results for output volatility extend the negative and significant relationship found by Furceri and Karras (2007). In addition, we present differentiated results for small and large countries, OECD members, eurozone countries and the so-called BRIC countries. These results are robust for different country and time samples and several control sets.Country size, Principal component analysis, Economic growth, Business cycle volatility

Has Inflation Targeting Changed Monetary Policy Preferences?

The literature on inflation targeting has up to now focused on its impact on macroeconomic performance or private expectations. In contrast, this paper proposes to investigate empirically whether the institutional adoption of this framework has changed the policy preferences of the central banker. We test the hypothesis that inflation targeting has constituted a switch towards a greater focus on inflation. We use three complementary methods: a structural break analysis, time-varying parameters and Markov-Switching VAR which make possible to estimate linear or nonlinear, and forward or backward looking specifications, to account for heteroskedasticity without having to assume a date break ex ante. Our main result is that inflation targeting has not led to a stronger response to inflation. We infer that the inflation targeting paradigm should not be confounded with the inflation targeting framework.Monetary Policy; Inflation Targeting; Taylor Rule; Structural Break; Time-Varying coefficients, Markov-Switching VAR

the Adoption of Inflation Targeting Represented a Regime Switch? Empirical evidence from Canada, Sweden and the UK.

Since 1990, a growing number of countries have adopted inflation targeting (IT) around the world. Empirical evidence on its advantages has been mixed so far, and most assessments have been based on a control group methodology. In this paper, using a MSVAR technique, we assess the adoption of IT in three industrialised countries over time; in addition, we compare their outcomes with a non-IT country, the US. Results are manifold. First, an inflation targeting regime exists, although it does not constitute a change in monetary policy reaction. Second, this conclusion is robust on a subsample excluding the periods of high inflation and early sharp disinflation. Third, the sacrifice ratio of higher output volatility generally attributed to inflation stabilisation policies is not sensitive to the adoption of inflation targeting. Fourth, this framework is shown to be conducive to higher monetary policy leeway.Inflation targeting;MSVAR;Counterfactuals;

Factors affecting the heat coagulation of homogenized coffee cream

Cover title.Bibliography: p. 578

Roughening and preroughening in the six vertex model with an extended range of interaction

We study the phase diagram of the BCSOS model with an extended interaction range using transfer matrix techniques, pertaining to the (100) surface of single component fcc and bcc crystals. The model shows a 2x2 reconstructed phase and a disordered flat phase. The deconstruction transition between these phases merges with a Kosterlitz-Thouless line, showing an interplay of Ising and Gaussian degrees of freedom. As in studies of the fully frustrated XY model, exponents deviating from Ising are found. We conjecture that tri-critical Ising behavior may be a possible explanation for the non-Ising exponents found in those models.Comment: 25 pages in RevTeX 3.0, seven uuencoded postscript figures, REPLACED because of submission error (figures were not included

Revisiting the greenbook's relative forecasting performance

Since Romer and Romer (2000), a large literature has dealt with the relative forecasting performance of Greenbook macroeconomic forecasts of the Federal Reserve. This paper empirically reviews the existing results by comparing the different methods, data and samples used previously. The sample period is extended compared to previous studies and both real-time and final data are considered. We confirm that the Fed has a superior forecasting performance on inflation but not on output. In addition, we show that the longer the horizon, the more pronounced the advantage of Fed on inflation and that this superi- ority seems to decrease but remains prominent in the more recent period. The second objective of this paper is to underline the potential sources of this supe- riority. It appears that it may stem from better information rather than from a better model of the economy