Characterizing the Anchoring Effects of Official Forecasts on Private Expectations

  • Carlos R. BARRERA CHAUPIS Research Division, Banco Central de Reserva del Perú, Perú

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 -π- and real growth -g-) during 2004-2015.

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Published
2023-06-26
How to Cite
BARRERA CHAUPIS, Carlos R.. Characterizing the Anchoring Effects of Official Forecasts on Private Expectations. Theoretical and Practical Research in Economic Fields, [S.l.], v. 14, n. 1, p. 126 - 145, june 2023. ISSN 2068-7710. Available at: <https://journals.aserspublishing.eu/tpref/article/view/7868>. Date accessed: 19 apr. 2024. doi: https://doi.org/10.14505/tpref.v14.1(27).11.