The Role of Media for Inflation Forecast Disagreement of Households and Professional Forecasters
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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in: Journal of Money, Credit and Banking, Jahrgang 44, Nr. 7, 01.10.2012, S. 1325-1350.
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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TY - JOUR
T1 - The Role of Media for Inflation Forecast Disagreement of Households and Professional Forecasters
AU - Lamla, Michael J.
AU - Maag, Thomas
PY - 2012/10/1
Y1 - 2012/10/1
N2 - This paper investigates the effects of media coverage about consumer price inflation on inflation forecast disagreement of German households and professional forecasters. We adopt a Bayesian learning model in which media coverage of inflation affects forecast disagreement by influencing information sets as well as predictor choice. Our empirical results show that disagreement of households depends on the heterogeneity of story content and on the reporting intensity, especially of news on rising inflation. Disagreement of professional forecasters does not depend on media coverage. With respect to the influence of macroeconomic variables, we provide evidence that disagreement of professional forecasters primarily depends on the inflation rate and on inflation volatility. The response of households to inflation is much less pronounced.
AB - This paper investigates the effects of media coverage about consumer price inflation on inflation forecast disagreement of German households and professional forecasters. We adopt a Bayesian learning model in which media coverage of inflation affects forecast disagreement by influencing information sets as well as predictor choice. Our empirical results show that disagreement of households depends on the heterogeneity of story content and on the reporting intensity, especially of news on rising inflation. Disagreement of professional forecasters does not depend on media coverage. With respect to the influence of macroeconomic variables, we provide evidence that disagreement of professional forecasters primarily depends on the inflation rate and on inflation volatility. The response of households to inflation is much less pronounced.
KW - Economics
KW - Forecast disagreement
KW - Inflation expectations
KW - Media coverage
UR - http://www.scopus.com/inward/record.url?scp=84866557520&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/ce95a57b-e3e9-3378-8360-2e77e1e1bf08/
U2 - 10.1111/j.1538-4616.2012.00534.x
DO - 10.1111/j.1538-4616.2012.00534.x
M3 - Journal articles
AN - SCOPUS:84866557520
VL - 44
SP - 1325
EP - 1350
JO - Journal of Money, Credit and Banking
JF - Journal of Money, Credit and Banking
SN - 0022-2879
IS - 7
ER -