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Un Análisis de Comportamiento a Nivel de Agente de la Encuesta de Expectativas de Inflación del BCU
[A Behavior Analysis of the BCU Inflation Expectation Survey]

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  • Borraz, Fernando
  • Gianelli, Diego

Abstract

Inflation expectations are key unobservable variables for decision-making, especially in managing monetary policy. Understand how to formulate them, if they are rational or adaptive is vital. This study answers these questions through a panel data analysis of the micro data from the inflation expectation survey of the Central Bank of Uruguay. The main findings indicate: i) a low predictive power of the analysts surveyed in the 12-month horizon; ii) a convergence of the individual forecasts to the released monthly median iii) an overweight of the inflation target ceiling and the dynamics of the inflation, and iv) a underweight of monetary policy instruments. With respect to the evidence of rationality, we find the partial use of available information and in some cases, there is a systematic bias.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 27713.

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Date of creation: 27 Dec 2010
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Handle: RePEc:pra:mprapa:27713

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Keywords: inflation expectations; rationality; forecast errors;

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  1. N. Gregory Mankiw & Ricardo Reis & Justin Wolfers, 2003. "Disagreement about Inflation Expectations," NBER Working Papers 9796, National Bureau of Economic Research, Inc.
  2. John M. Roberts, 1998. "Inflation expectations and the transmission of monetary policy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-43, Board of Governors of the Federal Reserve System (U.S.).
  3. Jonas Dovern & Johannes Weisser, 2009. "Accuracy, Unbiasedness and Efficiency of Professional Macroeconomic Forecasts: An empirical Comparison for the G7," Jena Economic Research Papers, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics 2009-091, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  4. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, American Economic Association, vol. 80(4), pages 714-35, September.
  5. Bibiana Lanzilotta & Adrián Fernández & Gonzalo Zunino, 2008. "Evaluación de las proyecciones de analistas: la encuesta de expectativas de inflación del banco central," Monetaria, Centro de Estudios Monetarios Latinoamericanos, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 1-25, enero-mar.
  6. Martin Cerisola & Gaston Gelos, 2009. "What drives inflation expectations in Brazil? An empirical analysis," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 41(10), pages 1215-1227.
  7. Laurence Ball & David Romer, 1987. "Real Rigidities and the Non-Neutrality of Money," NBER Working Papers 2476, National Bureau of Economic Research, Inc.
  8. Akerlof, George A & Yellen, Janet L, 1985. "A Near-rational Model of the Business Cycle, with Wage and Price Intertia," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 100(5), pages 823-38, Supp..
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