Characterizing the Anchoring Effects of Official Forecasts on Private Expectations

Carlos Barrera

MPRA Paper from University Library of Munich, Germany

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.

Keywords: C15; C30; E37; E47; E58; G14. (search for similar items in EconPapers)
JEL-codes: C15 C30 E37 E47 E58 G14 (search for similar items in EconPapers)
Date: 2022-08-19
New Economics Papers: this item is included in nep-ban, nep-cba and nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:114258

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