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Uma Nota sobre Erros de Previsão da Inflação de Curto Prazo

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  • Emanuel Kohlscheen

Abstract

This note shows that the unbiasedness and the weak rationality hypotheses are not rejected for the inflation forecasts surveyed by the Central Bank when the forecast horizon is one month. However, as in other countries, a clear pattern of auto-correlation of forecast errors is found. Furthermore, increases (decreases) in inflation are systematically associated with underestimations (overestimations) of inflation in the following month. This is true for both, the full sample of forecasters and the sample that is restricted to the 5 institutions with best forecasting performance, suggesting that models in which past realizations of inflation have greater weight in the formation of average expectations are more accurate than the assumption of rational expectations. Models aimed at explaining how expectations are formed should be able to explain these stylized facts as well as the hysteresis of forecasts.

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File URL: http://www.bcb.gov.br/pec/wps/port/TD227.pdf
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Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 227.

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Date of creation: Nov 2010
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Handle: RePEc:bcb:wpaper:227

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Web page: http://www.bcb.gov.br/?english

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Cited by:
  1. Benjamin M. Tabak & Marcelo Yoshio Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.

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