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Banks, Asset Management or Consultancies' Inflation Forecasts: is there a better forecaster out there?

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  • Tito Nícias Teixeira da Silva Filho

Abstract

The Focus Survey is a cunningly designed economic survey carried out by the Central Bank of Brazil. However, along its existence there have occasionally been some criticisms that its median forecast is “biased” due to allegedly strategic reasons. Although different groups of agents do have different strategic behaviours, one cannot take for granted that some groups predict differently from others. This paper tests if there are statistically significant differences in forecast accuracy between different groups of participants in the Focus Survey. Evidence shows some differences in forecasting ability among groups, but overall financial system forecasters have similar forecasting accuracy than consultancies.

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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps310.pdf
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Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 310.

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Date of creation: Jul 2013
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Handle: RePEc:bcb:wpaper:310

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

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  1. William T. Gavin & Rachel J. Mandal, 2001. "Forecasting inflation and growth: do private forecasts match those of policymakers?," Review, Federal Reserve Bank of St. Louis, issue May, pages 11-20.
  2. Lahiri, Kajal & Teigland, Christie & Zaporowski, Mark, 1988. "Interest Rates and the Subjective Probability Distribution of Inflation Forecasts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 233-48, May.
  3. Victor Zarnowitz & Louis A. Lambros, 1983. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc.
  4. Antonello D’Agostino & Kieran McQuinn & Karl Whelan, 2010. "Are Some Forecasters Really Better Than Others?," Working Papers 201012, School Of Economics, University College Dublin.
  5. Zarnowitz, Victor & Lambros, Louis A, 1987. "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 591-621, June.
  6. Batchelor, R A, 1990. "All Forecasters Are Equal," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 143-44, January.
  7. Harvey, David I. & Newbold, Paul, 2003. "The non-normality of some macroeconomic forecast errors," International Journal of Forecasting, Elsevier, vol. 19(4), pages 635-653.
  8. Jordi Pons-Novell, 2003. "Strategic bias, herding behaviour and economic forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 67-77.
  9. Lloyd B. Thomas, 1999. "Survey Measures of Expected U.S. Inflation," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 125-144, Fall.
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