Template-Type: ReDIF-Paper 1.0
Author-Name: Ana Aguilar
Author-X-Name-First: Ana
Author-X-Name-Last: Aguilar
Author-Name: Carlo Alcaraz Pribaz
Author-X-Name-First: Carlo
Author-X-Name-Last: Alcaraz Pribaz
Author-Name: Victoria Nuguer
Author-X-Name-First: Victoria
Author-X-Name-Last: Nuguer
Author-Name: Jessica Roldán-Peña
Author-X-Name-First: Jessica
Author-X-Name-Last: Roldán-Peña
Title: Monetary policy announcements and expectations: the case of Mexico
Abstract: In this paper we study the effects of Mexico's Central Bank monetary policy decisions on the expectations about inflation and monetary policy rate expectations of private forecasters. We estimate a fixed effect model at analyst level using a panel of professional forecasters from 2010 to 2017. We study the differences in expectations before and after a monetary policy announcement and we compare them when there are no announcements. We find that professional forecasters "listen" to the central bank, i.e. the changes in their short-run expectations are different when there are monetary policy announcements. Also, we find that analysts' surprises in realized inflation affect short-term inflation expectations but do not affect long-term inflation expectations suggesting anchored inflation expectations. Aditionally, monetary policy surprises have an impact on end-of-the-year inflation expectations and reference rate expectations.
Length: 30 pages
Creation-Date: 2022-06
File-URL: https://www.bis.org/publ/work1026.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1026.htm
File-Format: text/html
Number: 1026
Keywords: central bank communication, survey microdata, monetary policy interest rate expectations
Classification-JEL: E43, E59, D84, C83
Handle: RePEc:bis:biswps:1026