文章基本信息

标题：Uma nota sobre erros de previsão da inflação de curto‐prazo
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作者：Emanuel Kohlscheen
期刊名称：Revista Brasileira de Economia
印刷版ISSN：0034-7140
出版年度：2012
卷号：66
期号：3
页码：289-297
语种：Portuguese
出版社：Escola de Pós-Graduação em Economia da FGV
摘要：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.
其他摘要：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.
关键词：Previsão;Expectativas racionais;Expectativas Adaptativas;Rigidez de informação;Inflação.;expectativas;inflação
其他关键词：Previsão; Expectativas racionais; Expectativas Adaptativas; Rigidez de informação; Inflação.