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Survey forecasts in Brazil: A prismatic assessment of epidemiology, performance, and determinants

  • Carvalho, Fabia A.
  • Minella, André

This paper assesses the behavior of survey forecasts in Brazil during the inflation targeting regime, when managing expectations is one of the cornerstones of the conduct of monetary policy. The distinctive database of the survey conducted by the Central Bank of Brazil (BCB) among professional forecasters allows for a thorough investigation of the epidemiology, determinants, and performance of forecasts. The main results are: i) top performing forecasters are influential to other forecasters; ii) survey forecasts perform better than vector autoregressive model-based forecasts; iii) common forecast errors prevail over idiosyncratic components across respondents; iv) inflation targets play an important role in inflation expectations; and v) agents perceive the BCB as following a Taylor rule consistent with inflation targeting. The last two suggest high credibility of the monetary authority.

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 31 (2012)
Issue (Month): 6 ()
Pages: 1371-1391

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Handle: RePEc:eee:jimfin:v:31:y:2012:i:6:p:1371-1391
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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  3. Minella, Andre & de Freitas, Paulo Springer & Goldfajn, Ilan & Muinhos, Marcelo Kfoury, 2003. "Inflation targeting in Brazil: constructing credibility under exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 1015-1040, December.
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  16. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
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