A0188
Title: Evaluation of the credibility of the Brazilian inflation targeting system using mixed causal-noncausal models
Authors: Alain Hecq - Maastricht University (Netherlands)
Joao Victor Issler - Getulio Vargas Foundation (Brazil)
Elisa Voisin - Maastricht University (Netherlands) [presenting]
Abstract: Predictive densities obtained via mixed causal-noncausal autoregressive models are used to evaluate the statistical sustainability of Brazilian inflation targeting system with the tolerance bounds. The probabilities give an indication of the credibility of the targeting system without requiring modelling people's beliefs. We also investigate the added value of including experts predictions of key macroeconomic variables.
