Essays on macroeconomic expectations

• Ano de defesa: 2024
• Autor(a) principal: Pereira, João Gustavo de Savignon
• Orientador(a): Oliveira, Luciano Vereda
• Banca de defesa: Mendonça, Helder Ferreira de , Bastos, Júlio Cesar Albuquerque , Guillén, Osmani Teixeira de Carvalho , Areosa, Waldyr Dutra
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Link de acesso: https://app.uff.br/riuff/handle/1/35171
• topic: Forecast behavior; Sticky information; Noisy information; Monetary policy; Macroeconomia; Política monetária; Comportamento das projeções; Sticky information; Noisy information; Política monetária

This thesis contains three independent essays on macroeconomic expectations. In the first essay, we propose a new method to explore the information content of fixed-event forecasts and estimate structural parameters that are keys to sticky and noisy information models. The statistical characterization of regression errors explores the laws that govern expectation formation under sticky and noisy information, that is, they are coherent with the theory. This strategy is still unexplored in the literature and potentially enhances the reliability of inference results. The method also allows linking estimation results to the signal-to-noise ratio, an important parameter of noisy information models. In the second essay, we propose a new method to assess the impact of central banks’ inflation forecasts on private inflation expectations. We use regressions derived from a leader-follower model with noisy information and public signals. The leader is the central bank, which resolves a signal extraction problem to estimate the rational expectation of the inflation rate. Private agents then act by resolving an analogous problem to estimate this same value by using their own information and the forecasts disclosed by the central bank. The method allows estimating the precision of the signal received by the central bank, as well as the precisions of the individual and public signals received by private agents. The third essay applies the method proposed by Vereda, Savignon & Gouveia da Silva (2021) to a sample of five Latin American countries using data from surveys conducted by an independent consultancy. That method estimates the structural parameters of the two main currents in the literature on information rigidity: the sticky information and noisy information models. The main contributions of this article are that we worked with a different database and carried out exploratory analysis of this database. We added more countries to provide a broader view of Latin America, and we worked with expectations from a single survey. This was important, because for all five countries sampled, the dates of data collection and disclosure of the results, as well as the calculation procedures, were standardized. Regarding the empirical results, we confirmed the existence of a significant degree of information rigidity, but with smaller magnitudes and discrepancies among the countries.