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Inflation Disagreement Weakens the Power of Monetary Policy

Introduction

Household inflation disagreement, as evidenced by diverse consumer inflation expectations, reduces the effectiveness of both forward guidance and conventional monetary policy shocks. This empirical phenomenon suggests that policies aimed at managing inflation face diminished transmission through the economy when households disagree about future inflation.

Empirical Findings

• Local projections methods show that high inflation disagreement attenuates the impact of monetary policy shocks on consumption and inflation.
• Attenuation effects are stronger when inflation forecasts exhibit positive skewness, indicating outsized influence from higher inflation expectations.
• Effects persist even after controlling for other factors, demographic influences, and professional forecast disagreement, suggesting an independent effect.
• Geographically, states with higher inflation disagreement experience less pronounced policy responses in unemployment and inflation.

Theoretical Model

• Incorporates belief heterogeneity about central bank inflation targets, leading to varied perceived real interest rates.
• Agents with higher inflation expectations face tighter borrowing constraints, reducing their responsiveness to policy changes.
• This mechanism generates "discounted Euler equation" effects, rationalizing the forward guidance puzzle as constrained consumers under-react to future policy implications.

Conclusion

Elevated inflation disagreement, particularly during periods of policy tightening, weakens monetary policy transmission, potentially due to constrained household borrowing capacity. This highlights limitations in standard New Keynesian models and underscores the importance of heterogeneous beliefs for policy effectiveness, with potential implications for post-pandemic policy performance.