Data and Code for: Disagreement About Monetary Policy

This paper studies why central banks and markets hold different beliefs. I introduce a<br>model that formalizes three mechanisms for disagreement: asymmetric information about fundamentals, different perceptions of the policy rule, and different confidence in public signals. I show how to separately identify these mechanisms using their predictions for beliefs about multiple variables. In US data, negative macroeconomic news predicts market over-estimation of interest rates and employment relative to realizations and Federal Reserve forecasts. The estimates imply that markets slightly misspecify the monetary rule and are significantly under-confident in public information. Central-bank private information and “information effects” are quantitatively negligible.<br>