Determinantes macroeconômicos dos erros de previsão das expectativas de inflação do Focus

Abstract

Just as it is important to measure inflation expectations, there is also a need to study its predictive efficiency as a way of assessing how agents are forming their hopes about the future of inflation and whether these have an impact on the real economy (economic activity). For this reason, the present work seeks to investigate the macroeconomic determinants of forecast errors in inflation expectations. For this purpose, dynamic models with ARCH effect were estimated for the forecast error of inflationary expectations and another model, estimated through the OLS, for the growth rate of the IBC-BR, the monthly economic activity indicator used in this work. The results indicate a positive dependence (persistence) of the forecast error of expectations with the past of the variable itself in periods t-1 and t-3, as well as statistically significant correlations with some economic variables. Furthermore, both the forecast error and its uncertainty (volatility) are negatively correlated with the growth rate of the economic activity index used. A bias and rationality test were also applied, which indicated the existence of bias and weak rationality. It is also concluded that the errors of inflation expectations are not random, they are linked to economic factors and could be corrected if agents incorporated the results obtained in the present work into their forecasts.