On the accuracy of private forecasts of inflation and growth in Brazil
This study evaluates the accuracy of the private-sector forecasts of inflation and growth in industrial production collected by the Brazilian Central Bank (BCB). In addition to examining directional accuracy, we utilize as benchmarks both naïve and univariate autoregressive moving-average (ARMA) for...
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2015
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| Online Access: | http://hdl.handle.net/11073/8402 |
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| _version_ | 1864513438053564416 |
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| author | Baghestani, Hamid |
| author2 | Marchon, Cassia |
| author2_role | author |
| author_facet | Baghestani, Hamid Marchon, Cassia |
| author_role | author |
| dc.creator.none.fl_str_mv | Baghestani, Hamid Marchon, Cassia |
| dc.date.none.fl_str_mv | 2015 2016-08-07T06:20:48Z 2016-08-07T06:20:48Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Baghestani, Hamid, Cassia Marchon. "On the accuracy of private forecasts of inflation and growth in Brazil." Journal of Economics and Finance 39, no. 2 (April, 2015): 370-381. 1938-9744 1055-0925 http://hdl.handle.net/11073/8402 10.1007/s12197-013-9263-1 |
| dc.language.none.fl_str_mv | en_US |
| dc.relation.none.fl_str_mv | http://link.springer.com/article/10.1007%2Fs12197-013-9263-1 |
| dc.subject.none.fl_str_mv | Monetary policy Inflation targeting Rationality Emerging market economies |
| dc.title.none.fl_str_mv | On the accuracy of private forecasts of inflation and growth in Brazil |
| dc.type.none.fl_str_mv | info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | This study evaluates the accuracy of the private-sector forecasts of inflation and growth in industrial production collected by the Brazilian Central Bank (BCB). In addition to examining directional accuracy, we utilize as benchmarks both naïve and univariate autoregressive moving-average (ARMA) forecast and test rationality under flexible loss to allow for the possibility of asymmetric loss. Our analysis yields three important findings: First, the private forecasts are directionally accurate. Second, they are superior to the naïve forecasts and are either superior or as accurate as the ARMA forecasts. Third, the private forecasts are generally rational under either asymmetric or symmetric loss. Such findings point to the success of the BCB in anchoring private expectations. Given their importance as monetary policy inputs, we conclude that private inflation and growth forecasts are of value to the BCB for policymaking. |
| format | article |
| id | aus_4d1ab6845eace77d550db137cf953a78 |
| identifier_str_mv | Baghestani, Hamid, Cassia Marchon. "On the accuracy of private forecasts of inflation and growth in Brazil." Journal of Economics and Finance 39, no. 2 (April, 2015): 370-381. 1938-9744 1055-0925 10.1007/s12197-013-9263-1 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/8402 |
| publishDate | 2015 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | On the accuracy of private forecasts of inflation and growth in BrazilBaghestani, HamidMarchon, CassiaMonetary policyInflation targetingRationalityEmerging market economiesThis study evaluates the accuracy of the private-sector forecasts of inflation and growth in industrial production collected by the Brazilian Central Bank (BCB). In addition to examining directional accuracy, we utilize as benchmarks both naïve and univariate autoregressive moving-average (ARMA) forecast and test rationality under flexible loss to allow for the possibility of asymmetric loss. Our analysis yields three important findings: First, the private forecasts are directionally accurate. Second, they are superior to the naïve forecasts and are either superior or as accurate as the ARMA forecasts. Third, the private forecasts are generally rational under either asymmetric or symmetric loss. Such findings point to the success of the BCB in anchoring private expectations. Given their importance as monetary policy inputs, we conclude that private inflation and growth forecasts are of value to the BCB for policymaking.2016-08-07T06:20:48Z2016-08-07T06:20:48Z2015info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfBaghestani, Hamid, Cassia Marchon. "On the accuracy of private forecasts of inflation and growth in Brazil." Journal of Economics and Finance 39, no. 2 (April, 2015): 370-381.1938-97441055-0925http://hdl.handle.net/11073/840210.1007/s12197-013-9263-1en_UShttp://link.springer.com/article/10.1007%2Fs12197-013-9263-1oai:repository.aus.edu:11073/84022024-08-22T12:18:03Z |
| spellingShingle | On the accuracy of private forecasts of inflation and growth in Brazil Baghestani, Hamid Monetary policy Inflation targeting Rationality Emerging market economies |
| status_str | publishedVersion |
| title | On the accuracy of private forecasts of inflation and growth in Brazil |
| title_full | On the accuracy of private forecasts of inflation and growth in Brazil |
| title_fullStr | On the accuracy of private forecasts of inflation and growth in Brazil |
| title_full_unstemmed | On the accuracy of private forecasts of inflation and growth in Brazil |
| title_short | On the accuracy of private forecasts of inflation and growth in Brazil |
| title_sort | On the accuracy of private forecasts of inflation and growth in Brazil |
| topic | Monetary policy Inflation targeting Rationality Emerging market economies |
| url | http://hdl.handle.net/11073/8402 |