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Uma nota sobre erros de previsão da inflação de curto-prazo

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  • Kohlscheen, Emanuel

Abstract

This note shows that the unbiasedness and the weak rationality hypotheses are not rejected for inflation forecasts surveyed by the Central Bank. However, 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 suggests that models in which past realizations of inflation have greater weight in the formation of 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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  • Kohlscheen, Emanuel, 2012. "Uma nota sobre erros de previsão da inflação de curto-prazo," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
    • Handle: RePEc:fgv:epgrbe:v:66:y:2012:i:3:a:3882
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    1. Cumby, Robert E & Huizinga, John, 1992. "Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions," Econometrica, Econometric Society, vol. 60(1), pages 185-195, January.
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    5. 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.
    6. Steffen Henzel, 2008. "Learning Trend Inflation – Can Signal Extraction Explain Survey Forecasts?," ifo Working Paper Series 55, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    7. Evans, Martin & Wachtel, Paul, 1993. "Inflation Regimes and the," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 475-511, August.
    8. Kohlscheen, Emanuel, 2012. "Uma nota sobre erros de previsão da inflação de curto-prazo," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
    9. Martin Evans & Paul Wachtel, 1993. "Inflation regimes and the sources of inflation uncertainty," Proceedings, Federal Reserve Bank of Cleveland, pages 475-520.
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    2. Tabak, Benjamin M. & Takami, Marcelo & Rocha, Jadson M.C. & Cajueiro, Daniel O. & Souza, Sergio R.S., 2014. "Directed clustering coefficient as a measure of systemic risk in complex banking networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 211-216.
    3. Daniela Kubudi & José Valentim Vicente, 2016. "A Joint Model of Nominal and Real Yield Curves," Working Papers Series 452, Central Bank of Brazil, Research Department.
    4. Cambara, Leilane de Freitas Rocha & Meurer, Roberto & Lima, Gilberto Tadeu, 2022. "Deviating from full rationality but not from theoretical consistency: The behavior of inflation expectations in Brazil," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 492-501.
    5. Araujo, Gustavo Silva & Gaglianone, Wagner Piazza, 2023. "Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(2).
    6. Garcia, Márcio G.P. & Medeiros, Marcelo C. & Vasconcelos, Gabriel F.R., 2017. "Real-time inflation forecasting with high-dimensional models: The case of Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 679-693.
    7. Leilane de Freitas Rocha Cambara & Roberto Meurer, Gilberto Tadeu Lima, 2019. "Deviating from Perfect Foresight but not from Theoretical Consistency: The Behavior of Inflation Expectations in Brazil," Working Papers, Department of Economics 2019_36, University of São Paulo (FEA-USP).
    8. Marta Baltar Moreira Areosa & Wagner Piazza Gaglianone, 2023. "Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models," Working Papers Series 574, Central Bank of Brazil, Research Department.
    9. Kohlscheen, Emanuel, 2012. "Uma nota sobre erros de previsão da inflação de curto-prazo," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
    10. Carlos Henrique Dias Cordeiro de Castro & Fernando Antonio Lucena Aiube, 2023. "Forecasting inflation time series using score‐driven dynamic models and combination methods: The case of Brazil," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 369-401, March.

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