Should central banks communicate uncertainty in their projections?
Should central banks communicate uncertainty in their projections?
复制标题
央行是否应该在其预测中传达不确定性？
DOI：
10.1016/j.jebo.2020.11.013
复制
发表时间：
2021
影响因子：
2.2
通讯作者：
Petersen, Luba
中科院分区：
文献类型：
--
作者：
Rholes, Ryan;Petersen, Luba
本文提供了原始的经验证据，新兴的做法，中央银行沟通的不确定性，在他们的通货膨胀预测。我们在一个学习预测实验室实验中比较了点预测和密度预测的效果，在这个实验中，参与者对未来一个和两个时期通货膨胀的总体预期会影响宏观经济动态。精确的点预测在管理通胀预期方面更有效。点预测减少分歧和不确定性，同时促使参与者理性预测。用密度预测来补充点投影会使这些优点中的许多消失。相对于点预测，密度预测会导致更大的预测误差，更大的不确定性，以及中央银行预测的可信度。我们还探讨了在个人选择环境中的期望形成，以了解响应预测的动机。如果不考虑战略因素，预测的可信度就会大大降低，这表明预测主要是作为一种协调手段而有效。总的来说，我们的研究结果表明，通过密度预测传达不确定性降低了通货膨胀点预测的有效性。
This paper provides original empirical evidence on the emerging practice by central banks of communicating uncertainty in their inflation projections. We compare the effects of point and density projections in a learning-to-forecast laboratory experiment where participants’ aggregated expectations about one- and two-period-ahead inflation influence macroeconomic dynamics. Precise point projections are more effective at managing inflation expectations. Point projections reduce disagreement and uncertainty while nudging participants to forecast rationally. Supplementing the point projection with a density forecast mutes many of these benefits. Relative to a point projection, density forecasts lead to larger forecast errors, greater uncertainty about own forecasts, and less credibility in the central bank’s projections. We also explore expectation formation in individual-choice environments to understand the motives for responding to projections. Credibility in the projections is significantly lower when strategic considerations are absent, suggesting that projections are primarily effective as a coordination device. Overall, our results suggest that communicating uncertainty through density projections reduces the efficacy of inflation point projections.