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Biases in Survey Inflation Expectations: Evidence from the Euro Area

2022-09-30IMF九***

BiasesinSurveyInflationExpectations: EvidencefromtheEuroArea ByJiaqianChen,LucynaGornicka,andVaclavZdarek WP/22/205 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2022 SEP ©2022InternationalMonetaryFundWP/22/205 IMFWorkingPaper Strategy,PolicyandReviewDepartmentandMonetaryandCapitalMarketDepartment BiasesinSurveyInflationExpectations:EvidencefromtheEuroAreaPreparedbyJiaqianChen*,LucynaGórnicka†,andVaclavZdarek‡ AuthorizedfordistributionbyStephanDanningerandGastonGelos September2022 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:Thispaperdocumentsfivefactsaboutinflationexpectationsintheeuroarea.First,individualinflationforecastsoverreacttoindividualnews.Second,thecross-sectionaverageofindividualforecastsofinflationunderreacttoshocksinitially,butoverreactsinthemediumterm.Third,disagreementaboutfutureinflationincreasesinresponsetonewswhenthecurrentinflationishigh,anddeclineswheninflationislow,consistentwithazerolowerboundofexpectations.Fourth,overreactionofindividualinflationforecaststonewsincreasedaftertheglobalfinancialcrisis(GFC).Fifth,thereactionofaverageexpectations(andofactualinflation)toshocksbecamemoremutedpost-GFCintheeuroarea,butnotintheU.S. expectationsformation;surveysofexpectations;informational rigidities Keywords: E3,E4,E5,D83,D84 JELClassificationNumbers: TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyrepresentthoseoftheEuropeanCommission,Directorate-GeneralforEconomicandFinancialAffairs(DGECFIN),theInternationalMonetaryFund,itsBoardorManagement.WethankRobertaFrizandChristianGayerforcommentsandhelpwithBCSSurveydata,ElenaBobeicaandMarekJarocinskiforsharingtheirdataandcodes,WoutervanderWielenforhisadviceonfiscalVAR.WethankStephanDanninger,ChristopherErceg,GastonGelos,GitaGopinath,KennethKang,JesperLinde,PawelZabczykandotherseminarparticipantsattheIMFforusefulcomments.Allremainingerrorsareunderthefullresponsibilityoftheauthors. *InternationalMonetaryFund,Jchen@imf.org †InternationalMonetaryFund,Lgornicka@imf.org ‡EuropeanCommission,Vaclav.zdarek1@ec.europa.eu WORKINGPAPERS BiasesinSurveyInflationExpectations: EvidencefromtheEuroArea PreparedbyJiaqianChen,LucynaGornicka,andVaclavZdarek1 1TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyrepresentthoseoftheEuropeanCommission,Directorate-GeneralforEconomicandFinancialAffairs(DGECFIN),theInternationalMonetaryFund,itsBoardorManagement.WethankRobertaFrizandChristianGayerforcommentsandhelpwithBCSSurveydata,ElenaBobeicaandMarekJarocinskiforsharingtheirdataandcodes,WoutervanderWielenforhisadviceonfiscalVAR.WethankStephanDanninger,ChristopherErceg,GastonGelos,GitaGopinath,KennethKang,JesperLinde,PawelZabczykandotherseminarparticipantsattheIMFforusefulcomments.Allremainingerrorsareunderthefullresponsibilityoftheauthors. Contents 1Introduction3 2Literature7 3Asimplemodel:understandingover-andunder-reaction8 4Data10 4.1Dataonconsumers’expectations10 4.2Dataonprofessionalforecasters’expectations14 4.3Otherdata15 5Individualinflationexpectations16 6Behaviorofaverageexpectations18 6.1Averageforecasterrorsandforecastrevisions18 6.2Responsesofinflationexpectationstomacroeconomicshocks19 6.3Resultsforinflationexpectations21 6.4Resultsforunemploymentexpectations25 6.5Robustness26 7Disagreementaboutfutureinflation28 8Expectationspost-GFC32 8.1Individualinflationexpectationspost-GFC32 8.2Averageinflationandunemploymentexpectationspost-GFC33 9Whatexplainsthestylizedfacts?38 10Conclusions40 AAppendix45 1Introduction Full-informationrationalexpectations(FIRE)hypothesisplaysacrucialroleinmodernmacroeconomics.Ithasbeenabuildingblockofmoderngeneralequilibriummodels,theefficientmarketstheory,thetheoryofhyperinflationandthepermanentincometheoryofconsumption.Yet,FIREimposesverystrongassumptionsonthewayagentsformtheirbeliefs:notonlydotheyfullyunderstandthedata-generatingprocessbutalsoknowallrelevant,pastandcurrent,information. TherealismofFIREassumptionshasbeenquestionedinmanypapers,andmanyau-thorshaveproposedalternativemodelsofexpectationsformation.Somehaveemphasizedinformationalfrictions(MankiwandReis(2002)andMa´ckowiakandWiederholt(2015)),bi-asestoover-extrapolatethepast(Bordaloetal.(2020)),whileothershaveadvocatedforunder-extrapolationsuchascognitivediscounting(Gabaix(2020))andlevel-kthinking(Garc´ıa-SchmidtandWoodford(2019)andFarhiandWerning(2019)).Importantly,overtherecentyearsempiricalliteraturehasprovidednewsupportingevidenceofdeviationsfromtheFIREhypothesisaswell(CoibionandGorodnichenko(2012),CoibionandGorodnichenko(2015),Angeletos,HuoandSastry(2020)amongothers),althoughitremainsinconclusiveregardingthetrueexpectationsformat

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