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Inflation Expectations Formation In The Presence Of Policy Shifts And Structural Breaks: An Experimental Analysis

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Author Info

  • Luis Ricardo Maertens

    (Departamento de Economía - Pontificia Universidad Católica del Perú)

  • Gabriel Rodríguez

    (Departamento de Economía - Pontificia Universidad Católica del Perú)

Abstract

En este documento se muestra como las expectativas de inflacion son formadas y si cambios en la polÌtica o cambios estructurales influencian en dicha formacion. Cuatro experimentos son realizados con 75 individuos no experimentados donde se solicita predecir la inflacion domestica futura y reportar intervalos de cobranza. En tres momentos de los experimentos se solicita adicionalmente informacion referente a la incertidumbre de las predicciones. El diseño permite contar con 6750 puntos de prediccion de inflacion domestica e intervalos de confianza. Los resultados muestran que: (1) las expectativas de inflaciÛn son raramente racionales; (2) en general, los individuos ignoran informacion valiosa y tienen tendencia a prestar atencion al comportamiento tendencial pasado; (3) la adopcion de metas de inflacion aumenta el numero de individuos que predicen en forma racional y reduce la incertidumbre acerca de la inflaciÛn futura; y (4) una recesion reduce el nivel de racionalidad entre los individuos.

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Bibliographic Info

Paper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo with number 2012-339.

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Length: 30 pages
Date of creation: 2012
Date of revision:
Publication status: published
Handle: RePEc:pcp:pucwps:wp00339

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Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
Phone: (511) 626-2000 ext. 4950, 4951
Fax: (511) 626-2874
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Web page: http://departamento.pucp.edu.pe/economia/
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Keywords: Expectativas de Inflación; Análisis Experimental; Expectativas Racionales; Metas de Inflación; Cambio Estructural.;

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  1. Jordi Gal� & Tommaso Monacelli, 2005. "Monetary Policy and Exchange Rate Volatility in a Small Open Economy," Review of Economic Studies, Oxford University Press, vol. 72(3), pages 707-734.
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  9. Schmalensee, Richard, 1976. "An Experimental Study of Expectation Formation," Econometrica, Econometric Society, vol. 44(1), pages 17-41, January.
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  11. De Bondt, Werner P. M., 1993. "Betting on trends: Intuitive forecasts of financial risk and return," International Journal of Forecasting, Elsevier, vol. 9(3), pages 355-371, November.
  12. Heemeijer, Peter & Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan, 2009. "Price stability and volatility in markets with positive and negative expectations feedback: An experimental investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1052-1072, May.
  13. Pfajfar, D. & Zakelj, B., 2009. "Experimental Evidence on Inflation Expectation Formation (Replaced by CentER DP 2011-091)," Discussion Paper 2009-007, Tilburg University, Center for Economic Research.
  14. Branch, William A., 2007. "Sticky information and model uncertainty in survey data on inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 245-276, January.
  15. Castillo, Paul & Montoro, Carlos & Tuesta, Vicente, 2009. "Un modelo de equilibrio general con dolarización para la economía peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 17, pages 9-50.
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