IDEAS home Printed from https://ideas.repec.org/p/bdr/borrec/137.html
   My bibliography  Save this paper

Expectativas: Una Aproximación a Través de Modelos de Escogencia Discreta

Author

Listed:
  • Hugo Oliveros

Abstract

En este documento se presentan los resultados de la estimación de medidas de expectativas, así como, el desempeño de modelos probabilísticos utilizados para describir las preferencias de individuos, a partir de encuestas de carácter cualitativo, empleadas frecuentemente en la investigación de expectativas. Los ejercicios que se presentan en este documento tienen como base la extracción de la respuesta cualitativa implícita en la simulación de la respuesta de una encuesta cuantitativa de expectativas. La estimación de los parámetros y de las medidas de expectativas se hace a través de: Modelos Multinomiales Logísticos (MML), Modelos de Fricción, (MF), conteos derivados a partir de la respuesta cualitativa implícita en la encuesta cuantitativa y el nivel observado de la variable de referencia. El desempeño de los modelos permite concluir que a partir de la respuesta cualitativa es factible: (i) derivar estimativos similares a los que se obtendrían si se hiciese una encuesta cuantitativa, sin estar sujeto a los "indeseables efectos de valores extremos", totalmente en el caso de MML y parcialmente en el caso de MF; (ii) usar y evaluar diferentes mecanismos de formación de expectativas, desde el proceso de formación mismo y (iii) obtener medidas de concenso de la opinión de los encuestados. Los ejercicios presentados en este documento dependen significativamente del alto grado de homogeniedad, respecto del conjunto de información, que tienen los agentes que contestan la encuesta.

Suggested Citation

  • Hugo Oliveros, 1999. "Expectativas: Una Aproximación a Través de Modelos de Escogencia Discreta," Borradores de Economia 137, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:137
    DOI: 10.32468/be.137
    as

    Download full text from publisher

    File URL: https://doi.org/10.32468/be.137
    Download Restriction: no

    File URL: https://libkey.io/10.32468/be.137?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Dasgupta, Susmita & Lahiri, Kajal, 1992. "A Comparative Study of Alternative Methods of Quantifying Qualitative Survey Responses Using NAPM Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 391-400, October.
    2. Pierre St-Amant, 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest rates Using Structural VAR Methodology," Staff Working Papers 96-2, Bank of Canada.
    3. Laurence Broze & Ariane Szafarz, 1985. "On econometric models with rational expectations," ULB Institutional Repository 2013/661, ULB -- Universite Libre de Bruxelles.
    4. Christopher Ragan, "undated". "Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates," Staff Working Papers 95-1, Bank of Canada.
    5. Kanoh, Satoru & Li, Zhi Dong, 1990. "A Method of Exploring the Mechanism of Inflationary Expectations Based on Qualitative Survey Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 395-403, October.
    6. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-735, September.
    7. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
    8. Nerlove, Marc & Grether, David M. & Carvalho, José L., 1979. "Analysis of Economic Time Series," Elsevier Monographs, Elsevier, edition 1, number 9780125157506 edited by Shell, Karl.
    9. W A Razzak, 1997. "Testing the rationality of the National Bank of New Zealand's survey data," Reserve Bank of New Zealand Discussion Paper Series G97/5, Reserve Bank of New Zealand.
    10. Smyth, David J., 1992. "Measurement errors in survey forecasts of expected inflation and the rationality of inflation expectations," Journal of Macroeconomics, Elsevier, vol. 14(3), pages 439-448.
    11. Pearce, Douglas K, 1987. "Short-term Inflation Expectations: Evidence from a Monthly Survey: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(3), pages 388-395, August.
    12. Nerlove, Marc, 1983. "Expectations, Plans, and Realizations in Theory and Practice," Econometrica, Econometric Society, vol. 51(5), pages 1251-1279, September.
    13. Kandel, Shmuel & Ofer, Aharon R. & Sarig, Oded, 1991. "Expected inflation, unexpected inflation, and relative price dispersion : An empirical analysis," Economics Letters, Elsevier, vol. 37(4), pages 383-390, December.
    14. Caskey, John P, 1985. "Modeling the Formation of Price Expectations: A Bayesian Approach," American Economic Review, American Economic Association, vol. 75(4), pages 768-776, September.
    15. Fishe, Raymond P. H. & Lahiri, Kajal, 1981. "On the estimation of inflationary expectations from qualitative responses," Journal of Econometrics, Elsevier, vol. 16(1), pages 89-102, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hugo Oliveros C., 1999. "Expectativas:Una Aproximación A Través De Modelos De Escogencia Discreta," Borradores de Economia 2697, Banco de la Republica.
    2. Gerberding, Christina, 2001. "The information content of survey data on expected price developments for monetary policy," Discussion Paper Series 1: Economic Studies 2001,09, Deutsche Bundesbank.
    3. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992) [The "rational expectations hypothesis": theory and reality (a guided tour ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
    4. Miah, Fazlul & Rahman, M. Saifur & Albinali, Khalid, 2016. "Rationality of survey based inflation expectations: A study of 18 emerging economies’ inflation forecasts," Research in International Business and Finance, Elsevier, vol. 36(C), pages 158-166.
    5. Nolte, Ingmar & Pohlmeier, Winfried, 2007. "Using forecasts of forecasters to forecast," International Journal of Forecasting, Elsevier, vol. 23(1), pages 15-28.
    6. Michela Nardo, 2003. "The Quantification of Qualitative Survey Data: A Critical Assessment," Journal of Economic Surveys, Wiley Blackwell, vol. 17(5), pages 645-668, December.
    7. Lahiri, Kajal & Zhao, Yongchen, 2015. "Quantifying survey expectations: A critical review and generalization of the Carlson–Parkin method," International Journal of Forecasting, Elsevier, vol. 31(1), pages 51-62.
    8. Kajal Lahiri & Yongchen Zhao, 2013. "Quantifying Heterogeneous Survey Expectations: The Carlson-Parkin Method Revisited," Discussion Papers 13-08, University at Albany, SUNY, Department of Economics.
    9. Burton, Diana M. & Love, H. Alan, 1996. "A Review of Alternative Expectations Regimes in Commodity Markets: Specification, Estimation, and Hypothesis Testing Using Structural Models," Agricultural and Resource Economics Review, Cambridge University Press, vol. 25(2), pages 213-231, October.
    10. Söderlind, Paul, 1995. "Forward Interest Rates as Indicators of Inflation Expectations," CEPR Discussion Papers 1313, C.E.P.R. Discussion Papers.
    11. Das, J.W.M. & Dominitz, J. & van Soest, A.H.O., 1997. "Comparing Predictions and Outcomes : Theory and Application to Income Changes," Discussion Paper 1997-45, Tilburg University, Center for Economic Research.
    12. Oscar Claveria & Enric Monte & Salvador Torra, 2017. "A new approach for the quantification of qualitative measures of economic expectations," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(6), pages 2685-2706, November.
    13. Pesaran, M. Hashem & Weale, Martin, 2006. "Survey Expectations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 14, pages 715-776, Elsevier.
    14. Yusuf Soner Baskaya & Hakan Kara & Defne Mutluer, 2008. "Expectations, Communication and Monetary Policy in Turkey," Working Papers 0801, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    15. Breitung, Jörg & Schmeling, Maik, 2013. "Quantifying survey expectations: What’s wrong with the probability approach?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 142-154.
    16. Pfajfar, Damjan & Santoro, Emiliano, 2010. "Heterogeneity, learning and information stickiness in inflation expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 75(3), pages 426-444, September.
    17. Lui, Silvia & Mitchell, James & Weale, Martin, 2011. "The utility of expectational data: Firm-level evidence using matched qualitative-quantitative UK surveys," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1128-1146, October.
    18. Neumark, David & Leonard, Jonathan S, 1993. "Inflation Expectations and the Structural Shift in Aggregate Labor-Cost Determination in the 1980s," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 786-800, November.
    19. Das, Abhiman & Lahiri, Kajal & Zhao, Yongchen, 2019. "Inflation expectations in India: Learning from household tendency surveys," International Journal of Forecasting, Elsevier, vol. 35(3), pages 980-993.
    20. Angelo M. Fasolo & Marcelo Savino Portugal, 2003. "Imperfect Rationality and Inflationary Inertia: a New Estimation of the Phillips Curve for Brazil," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31st Brazilian Economics Meeting] b34, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdr:borrec:137. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/brcgvco.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Clorith Angélica Bahos Olivera (email available below). General contact details of provider: https://edirc.repec.org/data/brcgvco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.