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

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  • Carvalho, Fabia A.
  • Minella, André
Abstract
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.

Suggested Citation

  • Carvalho, Fabia A. & Minella, André, 2012. "Survey forecasts in Brazil: A prismatic assessment of epidemiology, performance, and determinants," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1371-1391.
    • Handle: RePEc:eee:jimfin:v:31:y:2012:i:6:p:1371-1391
    DOI: 10.1016/j.jimonfin.2012.02.006
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    Cited by:

    1. Gaglianone, Wagner Piazza & Guillén, Osmani Teixeira de Carvalho & Figueiredo, Francisco Marcos Rodrigues, 2018. "Estimating inflation persistence by quantile autoregression with quantile-specific unit roots," Economic Modelling, Elsevier, vol. 73(C), pages 407-430.
    2. Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2015. "Central banks’ inflation forecasts under asymmetric loss: Evidence from four Latin-American countries," Economics Letters, Elsevier, vol. 129(C), pages 66-70.
    3. Issler, João Victor & Soares, Ana Flávia, 2019. "Central Bank credibility and inflation expectations: a microfounded forecasting approach," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 812, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    4. Eda Gulsen & Hakan Kara, 2020. "Formation of inflation expectations: Does macroeconomic and policy environment matter?," Koç University-TUSIAD Economic Research Forum Working Papers 2017, Koc University-TUSIAD Economic Research Forum.
    5. de Mendonça, Helder Ferreira & Vereda, Luciano & Araujo, Mateus de Azevedo, 2022. "What type of information calls the attention of forecasters? Evidence from survey data in an emerging market," Journal of International Money and Finance, Elsevier, vol. 129(C).
    6. Chen, Qiwei & Costantini, Mauro & Deschamps, Bruno, 2016. "How accurate are professional forecasts in Asia? Evidence from ten countries," International Journal of Forecasting, Elsevier, vol. 32(1), pages 154-167.
    7. Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015. "Testing the liquidity preference hypothesis using survey forecasts," Emerging Markets Review, Elsevier, vol. 23(C), pages 173-185.
    8. Bhattacharya, Rudrani & Kapoor, Mrigankshi, 2020. "Forecasting Consumer Price Index Inflation in India: Vector Error Correction Mechanism Vs. Dynamic Factor Model Approach for Non-Stationary Time Series," Working Papers 20/323, National Institute of Public Finance and Policy.
    9. Minella, André & Souza-Sobrinho, Nelson F., 2013. "Monetary policy channels in Brazil through the lens of a semi-structural model," Economic Modelling, Elsevier, vol. 30(C), pages 405-419.
    10. Marcos Bujosa & Antonio García‐Ferrer & Aránzazu de Juan & Antonio Martín‐Arroyo, 2020. "Evaluating early warning and coincident indicators of business cycles using smooth trends," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 1-17, January.
    11. Wagner Piazza Gaglianone, 2017. "Empirical Findings on Inflation Expectations in Brazil: a survey," Working Papers Series 464, Central Bank of Brazil, Research Department.
    12. de Oliveira, Fernando Nascimento & Gaglianone, Wagner Piazza, 2020. "Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term," International Economics, Elsevier, vol. 163(C), pages 72-91.
    13. Kohlscheen, Emanuel, 2014. "The impact of monetary policy on the exchange rate: A high frequency exchange rate puzzle in emerging economies," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 69-96.
    14. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2017. "Applying a microfounded-forecasting approach to predict Brazilian inflation," Empirical Economics, Springer, vol. 53(1), pages 137-163, August.
    15. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.
    16. Arnildo da Silva Correa & Paulo Picchetti, 2016. "New Information and Updating of Market Experts’ Inflation Expectations," Working Papers Series 411, Central Bank of Brazil, Research Department.
    17. Dutra, Bernardo, 2017. "Expectations about Monetary Policy and the Behaviour of the Central Bank," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(2), November.
    18. Young Bin Ahn & Yoichi Tsuchiya, 2016. "Directional analysis of consumers’ forecasts of inflation in a small open economy: evidence from South Korea," Applied Economics, Taylor & Francis Journals, vol. 48(10), pages 854-864, February.
    19. de Freitas Val, Flávio & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gaglianone, Wagner Piazza, 2017. "Estimating the credibility of Brazilian monetary policy using a Kalman filter approach," Research in International Business and Finance, Elsevier, vol. 41(C), pages 37-53.
    20. Divino, Jose Angelo & Haraguchi, Carlos, 2024. "(Mis)Alignment between observed and expected monetary policy: The case of Brazil," International Economics, Elsevier, vol. 178(C).
    21. Flávio de Freitas Val & Wagner Piazza Gaglianone & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto, 2017. "Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model," Working Papers Series 463, Central Bank of Brazil, Research Department.
    22. Fabia A. de Carvalho & Marcos R. de Castro, 2015. "Macroprudential and Monetary Policy Interaction: a Brazilian perspective," Working Papers Series 405, Central Bank of Brazil, Research Department.
    23. Eda Gülşen & Hakan Kara, 2021. "Policy Performance and the Behavior of Inflation Expectations," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-46, October.
    24. Gabriela Bezerra De Medeiros & Marcelo Savino Portugal & Edilean Kleber Da Silva Bejarano Aragon, 2016. "Endogeneity And Nonlinearities In Central Bank Of Brazil’S Reaction Functions: An Inverse Quantile Regression Approach," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 061, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

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    More about this item

    Keywords

    Survey forecasts; Inflation expectations; Inflation targeting; Credibility;
    All these keywords.

    JEL classification:

    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other
    • 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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