Figure 1: Estimated SEP Projections at Constant Horizons
Notes: Sample period is 2012Q1-2026Q1. The heavy blue line is the 1-qtr
ahead interpolated SEP projection. The thin red solid line is the 2-qtr
ahead projection, the orange dash-dot line is the 3-qtr ahead projection
and the purple dotted line is the 4-qtr ahead projection.
Time series line chart showing four different forecast horizons of Federal Reserve SEP projections from 2012Q1 to 2026Q1 This figure displays interpolated Federal Reserve Summary of Economic Projections (SEP) for the federal funds rate at four different forecast horizons over the period 2012Q1 to 2026Q1. Visual Elements: - Heavy blue line: 1-quarter ahead SEP projection - Thin red solid line: 2-quarter ahead SEP projection - Orange dash-dot line: 3-quarter ahead SEP projection - Purple dotted line: 4-quarter ahead SEP projection Axes: - X-axis: Time from 2012Q1 to 2026Q1 - Y-axis: Projected federal funds rate (percentage points) Key Features: All four projections track each other closely but with slight vertical offsets, showing how the SEP expectations for the policy rate evolve at different forecast horizons. The projections show the dramatic policy tightening that began in 2022. Purpose: This figure illustrates the availability and evolution of SEP projections used as the key explanatory variable in the paper's anchoring tests.
Figure 2: Ex-Post Actual and Ex-Ante Blue Chip Forecasts for 3-month
Federal Funds Rates
Notes: Sample period is 1983Q1-2026Q1. In
Panel A, the heavy black line is actual federal funds rates (quarterly
average). The thin red lines are the real-time Blue Chip forecasts of
the path of the rate, with each forecast plotted starting in the quarter
in which the forecast was made.
Caterpillar plot showing actual federal funds rate path and multiple overlapping Blue Chip forecast paths from 1983Q1 to 2026Q1 This "caterpillar plot" displays the realized path of the federal funds rate alongside real-time Blue Chip consensus forecasts over the full sample period 1983Q1 to 2026Q1. Visual Elements: - Heavy black line: Actual quarterly average federal funds rate (realized ex-post) - Thin red lines: Multiple overlapping Blue Chip forecast paths, each originating from a different forecast date and extending up to 4 quarters forward Pattern: Each red forecast line begins at the quarter when the forecast was made and projects forward for four quarters. The visual pattern shows forecast paths "chasing" the realized black line, with forecasts systematically lagging behind actual movements, particularly during periods of rapid policy changes such as: - Volcker disinflation (early 1980s) - 2008 financial crisis - 2022-2023 tightening cycle Axes: - X-axis: Time from 1983Q1 to 2026Q1 - Y-axis: Federal funds rate (percentage points, ranging from near zero to approximately 20%) Purpose: This figure provides visual evidence of the baseline anchoring pattern where forecasts adjust gradually rather than immediately jumping to realized values.
Figure 3: Ex-Post Blue Chip Forecast Errors and Ex-Ante Revisions for
Federal Funds Rates
Notes: Sample period is 1983Q1-2026Q1
(N=173 observations). Each panel plots the ex-post forecast error (solid
blue) of the Blue Chip forecast of the federal funds rate against the
ex-ante revision to the Blue Chip forecast (dotted red). For example, at
the 1-qtr horizon, the forecast error realized at period \(t\) (the realization at time \(t\) minus the forecast from period \(t-1\)) is plotted against (and lined up
with) the revision that was made to the Blue Chip forecast at period
\(t-1\). Each panel plots the forecasts
errors and ex ante revisions at a different horizon.
Four-panel scatter plot showing the relationship between forecast errors and forecast revisions at 1-, 2-, 3-, and 4-quarter horizons from 1983Q1 to 2026Q1 This figure contains four separate panels, one for each forecast horizon. Sample period: 1983Q1-2026Q1 (N=173 observations). Panel Structure: Each panel (1-quarter, 2-quarter, 3-quarter, 4-quarter) plots two time series: - Solid blue line: Ex-post forecast error (realized rate minus forecast) - Dotted red line: Ex-ante forecast revision (change from prior quarter's forecast) Axes: - X-axis: Time from 1983Q1 to 2026Q1 - Y-axis: Percentage points (typically ranging from approximately -4 to +4) Key Pattern: The key visual pattern across all panels is a strong positive correlation between forecast errors and forecast revisions: when forecasters revise their expectations upward (red line rises), the subsequent realized error tends to be positive (blue line rises), meaning rates turned out higher than forecast. This co-movement provides the visual foundation for the baseline anchoring regression. Horizon Pattern: The correlation appears strongest at longer horizons (3-quarter and 4-quarter panels) where both series show more pronounced swings. Purpose: This figure provides visual evidence that forecast errors are predictable from observable forecast revisions, the key prediction of the anchoring model.
Figure 4: Ex-post Rate Path and Raw and Bias-Corrected Blue Chip
Forecasts, post-SEP Sample
Panel A: Raw Blue Chip Forecasts
Panel B: Bias Corrected Blue Chip Forecasts
Panel
C: Bias Decomposition
Notes: Sample period is 2012Q2-2026Q1.
In Panel A, the heavy black line is actual federal funds rates
(quarterly average). The thin colored lines are the real-time Blue Chip
forecasts of the path of the rate, with each forecast plotted starting
in the quarter in which the forecast was made. In Panel B, the
bias-corrected forecasts from the regression of Table 6 Panel C are
plotted. In Panel C, the bias from the regression of Table 6 Panel C is
decomposed into sources of bias.
Sample period: 2012Q2-2026Q1 Panel A: Raw Blue Chip Forecasts Caterpillar plot showing actual federal funds rate and raw Blue Chip forecast paths from 2012Q2 to 2026Q1 Similar to Figure 2 but focusing on the post-SEP period. Shows: - Heavy black line: Actual quarterly average federal funds rate - Thin colored lines: Real-time Blue Chip forecast paths originating from different quarters Forecasts systematically lag the realized path, particularly visible during the 2022-2023 tightening cycle when forecasts consistently underestimated the speed and extent of rate increases. Panel B Caterpillar plot showing actual federal funds rate and bias-corrected Blue Chip forecast paths from 2012Q2 to 2026Q1 Same structure as Panel A, but the forecast paths have been adjusted using the bias corrections implied by the composite anchoring model (Table 6 Panel C). The corrected forecast paths track the realized black line more closely than the raw forecasts in Panel A, demonstrating that the anchoring model captures a meaningful portion of forecast errors. Panel C Time series chart decomposing forecast bias into components attributable to BC Rev anchoring and SEP anchoring at the 4-quarter horizon from 2012Q2 to 2026Q1 This panel decomposes the total bias correction at the 4-quarter forecast horizon into contributions from two anchors: 1. Component due to anchoring to prior Blue Chip consensus (BC Rev) 2. Component due to anchoring to lagged SEP projections (SEP Gap) Axes: - X-axis: Time from 2012Q2 to 2026Q1 - Y-axis: Bias contribution (percentage points) Notable Features: - 2022-2023 tightening cycle: Large positive SEP-based bias reaching approximately 50 basis points, indicating that anchoring to the SEP (which itself lagged the realized path) contributed substantially to forecast errors - Varying contributions: Relative contributions of the two anchoring sources vary across different periods - Directional alignment: Periods where both anchors contribute to forecast errors in the same direction Purpose: This three-panel figure demonstrates that anchoring biases are both economically meaningful and can be decomposed into specific sources, with the SEP component being particularly important during policy transitions.
Figure 5: Ex-Post Actual and Ex-Ante Eurodollar/OIS Inplied Paths,
Full Sample
Notes: Sample period is 1986Q1-2026Q1. The heavy
black line is actual LIBOR (pre-2005) or federal funds (post-2005) rate.
The thin red lines are the real-time Eurodollar/federal funds futures
paths, with each path plotted starting in the quarter in which it was
observed.
Caterpillar plot showing actual LIBOR/federal funds rate and futures-implied rate paths from 1986Q1 to 2026Q1 Similar structure to Figure 2, but for market-based forecasts over the period 1986Q1-2026Q1. Visual Elements: - Heavy black line: Actual LIBOR rate (pre-2005) or federal funds rate (post-2005) - Thin red lines: Real-time Eurodollar futures (through 2004Q4) and federal funds futures (from 2005Q1 onward) implied rate paths Pattern: Each red line represents the forward rate path implied by futures prices at a particular date, projecting up to 4 quarters ahead. The pattern shows market-implied paths also lagging actual rate movements, though the relationship is noisier than for survey forecasts. Axes: - X-axis: Time from 1986Q1 to 2026Q1 - Y-axis: Interest rate (percentage points) Purpose: Parallel to Figure 2, this provides visual evidence of anchoring patterns in market prices rather than survey expectations. ------------------------------------------------------------------------
Figure 6: Ex-post Rate Path and Raw and Bias-Corrected
Eurodollar/Federal Funds Futures, post-SEP Sample
Panel A:
Raw Futures Paths
Panel B: Bias Corrected Futures Paths
Panel C: Bias Decomposition
Notes: Sample period
is 1986Q1-2026Q1. In Panel A, the heavy black line is actual LIBOR
(pre-2005) or federal funds (post-2005) rate. The thin colored lines are
the real-time future-implied forecasts of the path of the rate, with
each forecast plotted starting in the quarter in which the forecast was
made. In Panel B, the bias-corrected forecasts from the regression of
Table 10 Panel D are plotted. In Panel C, the bias from the regression
of Table 10 Panel D is decomposed into sources of bias.
Sample period: 2012Q2-2026Q1. Structure parallel to Figure 4. Panel A Caterpillar plot showing actual LIBOR/federal funds rate and raw futures-implied paths from 2012Q2 to 2026Q1 Post-SEP period market-implied rate paths showing: - Heavy black line: Actual LIBOR (pre-2005) or federal funds (post-2005) rate - Thin colored lines: Futures-implied rate paths originating from different quarters Similar to Figure 4 Panel A, shows systematic lagging during policy transitions, particularly 2022-2023. Panel B Caterpillar plot showing actual rate and bias-corrected futures-implied paths from 2012Q2 to 2026Q1 Same as Panel A but with bias corrections applied using the composite anchoring model for market forecasts (Table 10 Panel D). Corrected paths track the realized rate more closely than raw paths. Panel C Time series chart decomposing market forecast bias into BC Rev and SEP components at the 4-quarter horizon from 2012Q2 to 2026Q1 Parallel to Figure 4 Panel C, decomposing the bias correction for market-based forecasts into: 1. Bias component due to anchoring to prior Blue Chip consensus 2. Bias component due to anchoring to lagged SEP projections Axes: - X-axis: Time from 2012Q2 to 2026Q1 - Y-axis: Bias contribution (percentage points) For market forecasts, the SEP component is particularly important. During 2022-2023, SEP-based anchoring contributed approximately 50 basis points to forecast errors at the 4-quarter horizon. Demonstrates that anchoring affects not just survey forecasts but also market prices, with economically meaningful magnitudes particularly during the 2022-2023 tightening cycle.