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Characterizing the Anchoring Effects of Official Forecasts on Private Expectations

Barrera, Carlos (2022): Characterizing the Anchoring Effects of Official Forecasts on Private Expectations.

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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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