Private News and Monetary Policy - Forward Guidance as Bayesian Persuasion

When the central bank has information that can help the private sector predict the future
better, should it communicate such information to the public? In a simple New Keynesian
model, such Delphic forward guidance unambiguously reduces ex ante welfare by
increasing the variability of inflation and the output gap. In other words, it cannot
persuade private agents to change their actions in favor of the central bank. In more
elaborate DSGE models, the welfare effect may be either positive or negative,
depending on the type of shock as well as distortions and frictions. These results
suggest that improving welfare by Delphic forward guidance may be particularly difficult
under model uncertainty.