Replication files for "Losing the Inflation Anchor"

by Adrien Coutourier, Rui Sousa, Borui Niklas Zhu and
Ricardo Reis; December 09, 2021; Last updated 27 February, 2022

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** Instructions:
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To replicate the figures in the paper, run the four .Rmd-routines, one per
country, in the "Code" directory. Each reads files from the "Data" directory,
and produces output into the "Figures" directory as well as an html with all
the results.

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** Sources of Data for US:
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Almost all of the data for the US is in the "startinf_US.dta" STATA data file.
In turn its origins are:

-- The series from the Livingston survey (liv_), the Michigan survey
   post 1978 (mi), and the SPF survey (spf_) come from the file MRWdata_o.dta,
   which can be dowloaded from Ricardo Reis' website, as it is the source data
   in Mankiw, Reis, and Wolfers (2004):
   "Disagreement about Inflation Expectations"
   doi: https://doi.org/10.1086/ma.18.3585256

-- The series (milong) are from MRWdata_0.dta and are the historical series
   using "up"/"down"-answers since the 1940s built by Mankiw-Reis-Wolfers,
   using the data in Table 19 of the Michigan survey, raw data also in the file

-- A series of elementary macro data is also in the file,
   again from MRWdata_0.dta

-- New data in this project are the Greenbook forecasts at different horizons
   in the (gPGDP) series

-- New data in this project are (mean_mich), (variance_mich),
   and (skewness_mich).
   These come from the raw data in michigan_moments.dta and were built with the
   program in michigan_build.do

-- (gold) is the gold price form the Picks almanac in the Zurich market,
   Picks Currency Yearbook (1971 ed.)
-- (gold_price) is from FRED with the gold price in the London market
-- (pro_quest) are variables built using searches for the term in the label in
   the Proquest dataset
-- (leew) variables are typed in directly from the tables in that paper,
   de Leeuw, McKelvey (1981): "Price Expectations of Business Firms"
   doi: https://doi.org/10.2307/2534401

Other data files in the directory are:
-- "2_ Michigan.xlsx":     the raw Michigan survey data post 1978

-- "fischer_huizinga,dta": Gallup survey data from paper by the two authors:
                           Fischer, Huizinga (1982): XXX
			   "Inflation, Unemployment, and Public Opinion Polls"
			   https://doi.org/10.2307/1991488

-- "full_info2.mat":       estimates from model in section 4 of the paper.
   			   These were produced using the replication files from
   			   Reis (2021): "The Markets versus the People"

-- "individual_CPI.xlsx":  the raw SPF data post 1968

-- "michigan_moments.dta": the new data from the Michigan tables with answers
   			   in range for the late 1960s and 1970s

-- "MRWdata_0.dta":        the Mankiw-Reis-Wolfers dataset

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** Sources of Data for Brazil:
------------------------------

Almost all of the data for Brazil is in the "startinf_brazil_m.dta" STATA file.
In turn its origins are:

-- Expectations of professionals w.r.t.
   IPCA (ndice Nacional de Preos ao Consumidor Amplo, the price index
   that serves as reference for Brazil's inflation targeting)
   Downloaded from: https://www3.bcb.gov.br/expectativas (login required)
   by chunks of 2 years (Series de estatisticas -*.xlsx)

-- Expectations of households w.r.t. IPCA:
   FGV IBRE (Fundao Getulio Vargas - Instituto Brasileiro de Economia)
   provided microdata on household expectations surveys.
   The microdata itself can not be disclosed, but the computed moments are
   included in the STATA file.

   Fitted densities for Subfigure 11(d)
   were computed and can be found separately in "fgv_household_density.csv"

-- Breakeven rate:
   Kindly provided by Gustavo Silva Araujo from the Banco Central do Brasil

-- Realized IPCA:
   Instituto Brasileiro de Geografia e Estatistica (IBGE)
   https://www.ibge.gov.br/en/statistics/economic/prices-and-costs/17129-extended-national-consumer-price-index.html?=&t=downloads
   In this "Downloads"-section, choose the dropdown item "IPCA" and then "Serie_Historica",
   download the file there.
   We transformed the raw data into annual values for inflation.

-- Realized IPCA (free and admin prices):
   Instituto de Pesquisa Economica Aplicada (IPEA)
   http://www.ipea.gov.br/cartadeconjuntura/wp-content/uploads/2015/08/Infla%C3%A7%C3%A3o6.xlsx

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** Sources of Data for Turkey:
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All of the data for Turkey is in the "startinf_Turkey.dta" STATA file.
In turn its origins are mostly the CBRT's EVDS (Electronic Data Delivery System):
https://evds2.tcmb.gov.tr/index.php?

-- CPI:
   Filter for: "Price Index-Indicators for the CPI's Having
                Specified Coverages (2003=100)(TURKSTAT)"

-- Household expectations:
   Filter for Series: "TP.BEK.S01"

-- Breakeven rate:
   Built from Bloomberg data and summarised into monthly data,
   2 year nominal bonds - inflation-indexed 2 year bonds

-- Firm survey (bt_Eppi):
   Filter for Series: "TP.IYAW2.S26.A"

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** Sources of Data for South Africa:
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-- Inflation Survey History: Bureau of Economic Research (BER)
   Choose: Inflation Expectations (History Data), 2021
   https://www.ber.ac.za/BER%20Documents/Inflation-Expectations-History-(Excel)/?doctypeid=1099&year=2021

-- CPI: Statistics South Africa
   http://www.statssa.gov.za/?page_id=1854&PPN=P0141&SCH=72727

-- Household expectations from Du Plessis, Reid, Siklos (2021):
   "What drives household inflation expectations in South Africa?
   Demographics and anchoring under inflation targeting"
   https://doi.org/10.1016/j.ecosys.2021.100878