The Effect of Monetary Policy on Inflation Expectations: Evidence from a Financial Traders Survey

While financial market participants’ actions are crucial for the effectiveness of the monetary policy, the literature lacks evidence on how traders form economic expectations. Studies have argued that economic agents’ inflation expectations increase as a reaction to contractive monetary policy shocks, the so-called central bank (or Fed) information effect, but have not addressed the extent to which these responses are state-dependent. This study employs individual observations of more than 100 Chilean financial traders from 2010 to 2022 to analyze how they update inflation expectations in response to monetary policy surprises, when controlling for other relevant factors. The evidence indicates that traders’ reactions to policy shocks depend on the actual inflation rate, suggesting a mechanism where observed inflation reflects the central bank’s credibility and, thus, affects responses to policy actions. Results show that the size of the update depends on the disagreement amongst traders and news concerning contemporaneous inflation.

尽管金融市场参与者的行为对于货币政策的有效性至关重要，但现有学术文献仍缺乏关于交易员如何形成经济预期的实证证据。已有研究指出，经济主体的通胀预期会因应对紧缩货币政策冲击而上升，即所谓的央行信息效应(central bank information effect，或称美联储(Fed)信息效应)，但这类研究尚未探讨这些响应在多大程度上具有状态依赖性。本研究采用2010年至2022年间100余名智利金融交易员的个体观测数据，在控制其他相关影响因素的前提下，分析他们如何针对货币政策意外调整通胀预期。实证结果表明，交易员对政策冲击的响应取决于实际通胀水平，这暗示存在这样一种作用机制：观测到的通胀水平反映了央行的公信力，进而影响交易员对货币政策行动的响应。研究结果还显示，通胀预期调整的幅度取决于交易员之间的预期分歧以及与当期通胀相关的新闻信息。