Heterogeneity in monthly inflation expectations in Brazil: evidence from aggregate survey data

Abstract

In this paper the heterogeneity of inflation expectations gathered by the Central Bank of Brazil is analyzed through descriptive statistics and econometric estimations for the median, dispersion, amplitude and recurrence of the presence of institutions in the Top 5 forecasters group. Aggregate expectations for the IPCA consumer price index from January 2003 to August 2016 are employed. Our results include an almost perfect correlation between the forecasts of all survey participants and the Top 5 forecasts, gradual adjustment of expectations, the significance of the reference day for the selection of the Top 5, and a positive relation between changes in the median and its dispersion. Rewarding the Top 5 seems to induce a relevant proportion of the survey participants to keep their forecasts updated.