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Explaining Disagreement on Interest Rates in a Taylor-Rule Setting

Dräger, L and Lamla, MJ (2017) 'Explaining Disagreement on Interest Rates in a Taylor-Rule Setting.' The Scandinavian Journal of Economics, 119 (4). pp. 987-1009. ISSN 0347-0520

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Most studies on disagreement focus on one specific variable, thereby neglecting the fact that disagreement can be co-moving with disagreement on other variables. In this paper, we explore to what extent disagreement regarding the interest rate is driven by disagreement on inflation and unemployment. This relationship can be motivated by the theoretical concept of the Taylor rule. Using survey microdata for both professional forecasters and consumers, we provide evidence that disagreement on the interest rate is mainly driven by disagreement on inflation. We further show that disagreement is significantly influenced by central bank transparency, as well as news on money and credit conditions.

Item Type: Article
Uncontrolled Keywords: Inflation expectations; interest-rate expectations; survey microdata; Taylor rule; unemployment expectations
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 31 Oct 2017 10:38
Last Modified: 06 Jan 2022 14:49

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