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Central bank information and private‐sector expectations
Author(s) -
Güntner Jochen
Publication year - 2022
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.2879
Subject(s) - gdp deflator , economics , monetary policy , monetary economics , shock (circulatory) , real gross domestic product , inflation (cosmology) , central bank , aggregate (composite) , econometrics , component (thermodynamics) , economic indicator , interest rate , macroeconomics , materials science , theoretical physics , medicine , composite material , thermodynamics , physics
Recent advances in the literature allow disentangling the pure information component from the interest rate component of US monetary policy surprises. This article quantifies the information revealed around FOMC announcements using forecast revisions from Blue Chip Economic Indicators. Following a typical central bank information shock, survey participants revise their now‐ and short‐term forecasts of both real GDP growth and the GDP deflator upwards, consistent with a shift of the aggregate demand curve along the aggregate supply curve. While now‐ and forecast revisions in real GDP growth are driven by negative central bank information shocks, those in the GDP deflator respond broadly symmetrically to good and bad news.