Política monetária e formação das expectativas de inflação: quem acertou mais, o governo ou o mercado futuro?

Abstract

This paper uses the futures market for the price level data to compare the relative performance of this market to the Brazilian economic authorities in forecasting inflation The main results are., a) the futures market performed much better than the government; b) the market's forecasts are almost always larger than the government's; and c) the government's inflation forecasts embedded in the overnight interest rates performed better than the forecasts announced daily by the government. Those announcements were shown to have a clear downward bias. This downward bias could have resulted from the attempt to overtax the financial gains, or from the belief that the government's announcements have a coordination role in the market. The results do not corroborate such belief. The analysis of the futures market behavior shows that volatility is less important than the futures price bias. This may be a result of the inefficiency of this market in aggregating inflation expectations.