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Expectativas: Una Aproximación a Través de Modelos de Escogencia Discreta

  • Hugo Oliveros
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    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.

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    Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 137.

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    Handle: RePEc:bdr:borrec:137
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    1. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
    2. 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.
    3. 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 714-35, September.
    4. 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 388-95, August.
    5. Christopher Ragan, 1995. "Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates," Macroeconomics 9502003, EconWPA.
    6. Nerlove, Marc, 1983. "Expectations, Plans, and Realizations in Theory and Practice," Econometrica, Econometric Society, vol. 51(5), pages 1251-79, September.
    7. 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.
    8. St-Amant, P., 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest rates Using Structural VAR Methodology," Working Papers 96-2, Bank of Canada.
    9. 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.
    10. Laurence Broze & Ariane Szafarz, 1987. "On Econometric Models with Rational Expectations," ULB Institutional Repository 2013/106048, ULB -- Universite Libre de Bruxelles.
    11. Caskey, John P, 1985. "Modeling the Formation of Price Expectations: A Bayesian Approach," American Economic Review, American Economic Association, vol. 75(4), pages 768-76, September.
    12. 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.
    13. 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.
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