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| Author(s): |
Sarah Bretones de Paula
Total Authors: 1
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| Document type: | Master's Dissertation |
| Press: | São Paulo. |
| Institution: | Universidade de São Paulo (USP). Faculdade de Economia, Administração e Contabilidade (FEA/SBD) |
| Defense date: | 2012-12-17 |
| Examining board members: |
Marcio Issao Nakane;
Pedro Garcia Duarte;
Paulo Picchetti
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| Advisor: | Marcio Issao Nakane |
| Abstract | |
Despite assuming full-information rational expectations, part of macroeconomic literature has emphasized that agents typically face frictions and constraints in acquiring and forming expectations. Informational rigidities models stand for an appealing alternative, since they are capable of explaining key features of survey expectations data such as disagreement in forecasts between agents. In this work, we use inflation expectations data for professional forecasters and consumers in order to test the predictions of two classes of informational rigidities models: (i) sticky information and (ii) imperfect information. In the first type of model, agents can update their information sets only infrequently, but when doing so they acquire full information; in the second type, agents can update continuously, but only observe a noisy signal about the state of economic variables. One can distinguish between these two classes because they yield conflicting predictions about the conditional responses of forecast moments to fundamental economic shocks. Therefore, an important part of this work deals with identification and estimation of structural shocks. In performing the tests, we are not able to find evidences that support informational rigidities, at least not in the setting suggested by these models. Likewise, we cannot find support to a model in which agents have full-information, but heterogeneous loss functions about forecast errors. Surprisingly, we find the same results for professional forecasters and consumers. It is worth noting, however, that the consumer expectations measures used have several shortfalls. (AU) | |
| FAPESP's process: | 10/13864-5 - Sticky or imperfect information? Survey expectations and informational rigidity in Brazil |
| Grantee: | Sarah Bretones de Paula |
| Support Opportunities: | Scholarships in Brazil - Master |