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

Carvalho, Fabia A. de; Minella, André

doi:10.1016/j.jimonfin.2012.02.006

Cited by 34 publications

(19 citation statements)

References 12 publications

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“…Devido ao fato de o Banco Central enfatizar as expectativas de inflação 12 meses à frente, esta série foi escolhida. Já a opção pela série mediana das expectativas de inflação deve-se tanto ao Relatório Focus quanto ao Capítulo 6 do Relatório de Inflação, onde as medidas univariadas mais utilizadas para representar o painel de instituições pesquisadas têm sido a mediana e não a média, conforme também destacam Carvalho (2012) e Carvalho & Minella (2012). Este último estudo mostra que, no período considerado, a mediana não apresenta viés sistemático, o que indica bom poder preditivo, apesar de τ é um contrato futuro do qual o ativo de referência é a taxa de juros DI (depósito interbancário).…”

Section: Os Dadosunclassified

Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado

Zabot¹,

Caetano²,

Caldeira³

2013

Econ. Apl.

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O objetivo deste artigo é avaliar os efeitos das ações do Comitê de Política Monetária (COPOM) sobre a curva de juros da economia brasileira, em um ambiente onde o mercado se preocupa em compreender o comportamento da autoridade monetária através de uma regra do tipo Taylor. Os resultados sugerem que o mercado tem sido capaz de antecipar adequadamente as mudanças na meta taxa Selic e que surpresas monetárias tem levado o mercado a rever seus contratos de juros DI-futuros, influenciando, assim, as taxas de juros de mercado.

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Section: Os Dadosunclassified

Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado

Zabot¹,

Caetano²,

Caldeira³

2013

Econ. Apl.

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“…Unfortunately, literature about forecast biases in Brazil tends to focus on inflation forecasts (see Carvalho and Minella, 2012). Therefore, we empirically test the unbiasedness of market surveys, considering changes in the monetary policy interest rates and survey forecasts on a daily basis.…”

Section: Appendix a Methodology For Expected Short-term Interest Ratementioning

confidence: 99%

Testing the liquidity preference hypothesis using survey forecasts

Ornelas

Silva

2015

Emerging Markets Review

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We evaluate the liquidity preference hypothesis (LPH) for the term structure of interest rates in a different way. Instead of using bond returns as traditional approaches, we use interest rate surveys with market expectations in order to evaluate LPH. This approach allows us to disentangle the effect of the changes in interest rate expectations from the liquidity premium. We found empirical support for the LPH with Brazilian data using both traditional and survey methods. However, the evaluation with interest rate surveys gives a higher statistical confidence level than the traditional approach when we perform tests for term premium monotonicity.

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“…For instance, Chen, Costantini, and Deschamps (2016) analyse the accuracy of GDP growth and inflation forecasts in Asia, while Pierdzioch and R€ ulke (2015) focus on exchange rate forecasts in emerging economies in Asia, eastern Europe and South America. When it comes to single economy study, Tsuchiya and Suehara (2015) and Deschamps and Bianchi (2012) focus on China, Carvalho and Minella (2012) and Baghestani and Marchon (2015) deal with Brazil, Capistran and Lopez-Moctezuma (2014) investigate Mexican inflation and GDP growth forecasts, while Baghestani and Danila (2014) focus on inflation forecasting in the Czech Republic.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of forecasts of GDP growth and inflation for the Croatian economy

Jerić

Zoričić

Dolinar

2020

Economic Research-Ekonomska Istraživanja

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The paper provides, for the first time, the analysis of the quality of the GDP growth and inflation forecasts by multiple forecasters for the Croatian economy. Forecast data of 6 different institutions in the 2006-2015 period are analysed. Efficiency and biasedness test are conducted following the Davies and Lahiri econometric framework based on a three-dimensional panel dataset which includes multiple individual forecasters, target years and forecast horizons. In order to assess directional accuracy we follow the approach by Pesaran and Timmermann. Based on MAE values we find the forecasts to be accurate on a scale comparable to the European Commission's forecast reported in 2016 for the EU and the euro area. GDP growth forecasts exhibit a strong bias related to a notable tendency to over-predict GDP growth. In the case of inflation forecasting the bias is still present for all forecasters, albeit less pronounced and not statistically significant for all of them. There is evidence of forecast inefficiency regarding both analysed variables. Overall, inflation forecasting presents less of a challenge due to specific monetary policy strategy and inaccurate national accounts data accompanied by extended revision process of the GDP data by the government's statistics office.

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

Cited by 34 publications

References 12 publications

Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado

Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado

Testing the liquidity preference hypothesis using survey forecasts

Analysis of forecasts of GDP growth and inflation for the Croatian economy

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