• the replication repo of the research project: How Do Agents Form Macroeconomic Expectations? Evidence from the Inflation Uncertainty
• Tao Wang
• [email protected]
• Bank of Canada

Federal Reserve Bank of New York. Survey of Consumer Expectations Complete Microdata (Public). 2013-2016, 2017-2019, 2020-2023. https://www.newyorkfed.org/microeconomics/sce#/

Federal Reserve Bank of Philadelphia. Survey of Professional Forecasters (CORECPI): Core CPI Inflation Rate (CORECPI) – Individual responses, 2007-2023. https://www.philadelphiafed.org/surveys-and-data/corecpi

Federal Reserve Bank of Philadelphia. Survey of Professional Forecasters (COREPCE): Core PCE Inflation Rate (COREPCE) – Individual responses, 2007-2023. https://www.philadelphiafed.org/surveys-and-data/corepce

Federal Reserve Bank of Philadelphia. Real-Time Data Set (CPI), 1967-2022. https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/cpi

Federal Reserve Bank of Philadelphia. Real-Time Data Set (Core CPI), 1967-2022. https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/pcpi

Federal Reserve Bank of Philadelphia. Real-Time Data Set (Core PCE), 1967-2022. https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/pcon

Federal Reserve Bank of Philadelphia. Survey of Professional Forecasters (Core CPI), 1967-2022. https://www.philadelphiafed.org/surveys-and-data/corecpi

Federal Reserve Bank of Philadelphia. Survey of Professional Forecasters (Core PCE), 1967-2022. https://www.philadelphiafed.org/surveys-and-data/corepce

Federal Reserve Bank of St Louis. Consumer Price Index for All Urban Consumers: All Items in U.S. City Average (CPIAUCSL), 2007-2023. FRED Economic Data. https://fred.stlouisfed.org/series/CPIAUCSL [CPI]

Federal Reserve Bank of St Louis. Consumer Price Index for All Urban Consumers: All Items Less Food and Energy in U.S. City Average (CPILFESL), 2007-2023. FRED Economic Data. https://fred.stlouisfed.org/series/CPILFESL [Core CPI]

Federal Reserve Bank of St Louis. Personal Consumption Expenditures Excluding Food and Energy (Chain-Type Price Index) (PCEPILFE), 2007-2023. FRED Economic Data. https://fred.stlouisfed.org/series/PCEPILFE [Core PCE]

The datasets used for this paper are all publicly accessible without restriction or limitation.

• \tables

  • This folder includes summary tables that report the data information and main results of the paper. They are hand created from the outputs generated from the code.

• \workingfolder

  • This folder contains all the code and data that generate the results of the paper.

    • \workingfolder\DoFile

      This folder contains the stata do files that clean the data, report the stylized facts about the inflation uncertainty and the reduced-form regression results.

    • \workingfolder\graphs

      • \workingfolder\graphs\ind
      • \workingfolder\graphs\inflation
      • \workingfolder\graphs\pop
      • \workingfolder\graphs\pop\hist

    • \workingfolder\ind

      This folder contains regressions with individual survey answers.

    • \workingfolder\OtherData

      This folder contains all non-survey data used in this paper, including the real-time and historical realizations of various inflation rates.

      • \workingfolder\OtherData\RealTimeData

    • \workingfolder\SurveyData

      This folder contains survey data: SCE and SPF.

      • \workingfolder\SurveyData\SCE
      • \workingfolder\SurveyData\SPF
      • \workingfolder\SurveyData\SPF\individual

    • \workingfolder\tables

      • \workingfolder\tables\ind \workingfolder\tables\reduced_form_results
      • \workingfolder\tables\reduced_form_results\before2019

    • \workingfolder\python

      See below for detailed information.

      • \workingfolder\python\figures
      • \workingfolder\python\tables
      • \workingfolder\python\tables\after2022

• For downloading the SCE data run this Python code. This Python program downloads the three datasets listed and formats them as .dta files.

The citations for these data files are as follows:

- Federal Reserve Bank of New York. Survey of Consumer Expectations, 2013-2016 Complete Microdata (Public). https://www.newyorkfed.org/medialibrary/Interactives/sce/sce/downloads/data/FRBNY-SCE-Public-Microdata-Complete-13-16.xlsx?sc_lang=en (accessed January 2024).

- Federal Reserve Bank of New York. Survey of Consumer Expectations, 2017-2019 Complete Microdata (Public). https://www.newyorkfed.org/medialibrary/Interactives/sce/sce/downloads/data/FRBNY-SCE-Public-Microdata-Complete-17-19.xlsx?sc_lang=en (accessed January 2024).

- Federal Reserve Bank of New York. Survey of Consumer Expectations, 2020-2023 Latest Microdata (Public). https://www.newyorkfed.org/medialibrary/Interactives/sce/sce/downloads/data/FRBNY-SCE-Public-Microdata-Complete-17-19.xlsx?sc_lang=en (accessed January 2024).

• Other data is stored in the \SurveyData\ and \OtherData folder.

• Stata code

  • Cleaning inflation data
  • Cleaning SCE micro data
  • CLeaning SPF micro data
  • Cleaning SPF population density data
  • Cleaning SPF individual density data
  • Cleaning SPF summary statistics
  • Population regression analysis for SPF
  • Population regression analysis for SCE
  • Individual regression analysis for SPF
  • Individual regression analysis for SCE

• Python

  • Density Estimation of SPF, which draws the model class from

    • DensityEstimation

  • Preparing real-time inflation data

  • Estimating stochastic volatility of inflation (in Matlab)

  • Structural estimation, which imports model classes from

    • Model Class, which tests if each model could correctly identify model parameters using various moments.
    • Structural estimation for extended sample