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What drives inflation expectations in Brazil? Public versus private information

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  • Waldyr D. Areosa

Abstract

This article applies a noisy information model with strategic interactions à la Morris and Shin (2002) to a panel from the Central Bank of Brazil Market Expectations System to provide evidence of how professional forecasters weight private and public information when building inflation expectations in Brazil. The main results are: (i) forecasters attach more weight to public information than private information because (ii) public information is more precise than private information. Nevertheless, (iii) forecasters overweight private information in order to (iv) differentiate themselves from each other (strategic substitutability).

Suggested Citation

  • Waldyr D. Areosa, 2016. "What drives inflation expectations in Brazil? Public versus private information," Working Papers Series 418, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:418
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    Cited by:

    1. 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.
    2. Joscha Beckmann & Ansgar Belke & Irina Dubova, 2022. "What drives updates of inflation expectations? A Bayesian VAR analysis for the G‐7 countries," The World Economy, Wiley Blackwell, vol. 45(9), pages 2748-2765, September.
    3. Wagner Piazza Gaglianone, 2017. "Empirical Findings on Inflation Expectations in Brazil: a survey," Working Papers Series 464, Central Bank of Brazil, Research Department.

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