Characterizing the Anchoring Effects of Official Forecasts on Private Expectations
Characterizing the Anchoring Effects of Official Forecasts on Private Expectations
Author(s): Carlos R. Barrera ChaupisSubject(s): Economy, Economic policy, Financial Markets
Published by: ASERS Publishing
Keywords: statistical simulation methods; treatment effect models; central bank; forecasting; coordination;
Summary/Abstract: The paper proposes a method for simultaneously estimating the treatment effects of a change in a policy variable on a numerable set of interrelated outcome variables (different moments from the same probability density function). Firstly, it defines a non-Gaussian probability density function as the outcome variable. Secondly, it uses a functional regression to explain the density in terms of a set of scalar variables. From both the observed and the fitted probability density functions, two sets of interrelated moments are then obtained by simulation. Finally, a set of difference-in-difference estimators can be defined from the available pairs of moments in the sample. A stylized application provides a 29-moment characterization of the direct treatment effects of the Peruvian Central Bank’s forecasts on two sequences of Peruvian firms’ probability densities of expectations (for inflation -- and real growth --) during 2004-2015.
Journal: Theoretical and Practical Research in Economic Fields (TPREF)
- Issue Year: XIV/2023
- Issue No: 27
- Page Range: 126-145
- Page Count: 20
- Language: English
- Content File-PDF