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Un análisis de comportamiento a nivel de agente de la encuesta de expectativas de inflación del BCU

Author

Listed:
  • Fernando Borraz

    (Banco Central del Uruguay)

  • Diego Gianelli

    (Banco Central del Uruguay)

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.

Suggested Citation

  • Fernando Borraz & Diego Gianelli, 2010. "Un análisis de comportamiento a nivel de agente de la encuesta de expectativas de inflación del BCU," Documentos de trabajo 2010001, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2010001
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    References listed on IDEAS

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    1. Dovern, Jonas & Weisser, Johannes, 2011. "Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7," International Journal of Forecasting, Elsevier, vol. 27(2), pages 452-465.
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    6. Laurence Ball & David Romer, 1990. "Real Rigidities and the Non-Neutrality of Money," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(2), pages 183-203.
    7. Martin Cerisola & Gaston Gelos, 2009. "What drives inflation expectations in Brazil? An empirical analysis," Applied Economics, Taylor & Francis Journals, vol. 41(10), pages 1215-1227.
    8. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
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    Cited by:

    1. Bucacos, Elizabeth, 2017. "Financial Conditions and Monetary Policy in Uruguay: An MS-VAR Approach," IDB Publications (Working Papers) 8275, Inter-American Development Bank.

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    More about this item

    Keywords

    inflation expectations; rationality; forecast errors;
    All these keywords.

    JEL classification:

    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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