The Communication Effects on Inflation Forecast Errors: Empirical Evidence from Colombia

Juan Camilo Anzoátegui Zapata, Juan Camilo Galvis Ciro

    Research output: Contribution to journalArticlepeer-review


    The purpose of this article is to explore the central bank’s ability to management inflation forecast errors in Colombia. We present empirical evidence based on the Colombian experience with data from the period of 2008 to 2020. The communication channel selected for analysis is the press releases. The empirical evidence is divided into three steps: (i) regression analysis using an EGARCH model; (ii) use of VAR models; and (iii) variance decomposition analysis. The communications effects are significant for several months and that close to half of the forecast error variance can be explained by innovations in central bank communication. The results obtained allow monetary policymakers to develop more efficient strategies for anchoring expectations and strengthening the central bank credibility.

    Original languageEnglish
    Pages (from-to)427-445
    Number of pages19
    Issue number3
    StatePublished - 2022

    Bibliographical note

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    © 2022, Savez Ekonomista Vojvodine. All rights reserved.


    • Central bank communication
    • Forecast errors
    • Monetary policy


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