Template-Type: ReDIF-Paper 1.0
Author-Name: Csaba Csávás
Author-X-Name-First: Csaba
Author-X-Name-Last: Csávás
Author-Email: csavascs@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (central bank of Hungary)
Author-Name: Szilárd Erhart
Author-X-Name-First: Szilárd
Author-X-Name-Last: Erhart
Author-Email: erhartsz@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (central bank of Hungary)
Author-Name: Dániel Felcser
Author-X-Name-First: Dániel
Author-X-Name-Last: Felcser
Author-Email: felcserd@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (central bank of Hungary)
Author-Name: Anna Naszodi
Author-X-Name-First: Anna
Author-X-Name-Last: Naszodi
Author-Email: anna.naszodi@gmail.com
Author-Workplace-Name: Magyar Nemzeti Bank (central bank of Hungary)
Title: Which Aspects of Central Bank Transparency Matter? Constructing a Weighted Transparency Index
Abstract: In this paper we investigate the effect of central bank transparency on survey forecasts. Similar to Ehrmann et al. (2010), we find that greater transparency can reduce the degree of disagreement across individual forecasters and it can also improve the forecasting performance of survey respondents. However, our empirical approach is more rigorous than that of Ehrmann et al. (2010) as we test both for causality and misspecification. The analysis is carried out on a panel dataset that is much richer than those used by previous studies. This unique dataset allows us to identify the effects of various aspects of transparency separately and to assign weights to them reflecting their relative importance in reducing uncertainty. Finally, we construct a new composite measure of central bank transparency using the estimated weights.
Length: 70 pages
Creation-Date: 2012
File-URL: http://www.mnb.hu/letoltes/wp-2012-06.pdf
File-Format: Application/pdf
Number: 2012/6
Classification-JEL: C53, D83, E50
Keywords: central bank transparency, survey forecast, weighted transparency index, dynamic panel model, overlapping observations
Handle: RePEc:mnb:wpaper:2012/6