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    Inattention in individual expectations
    (2017-01) Cordeiro, Yara de Almeida Campos; Gaglianone, Wagner Piazza; Issler, João Victor
    This paper investigates the expectations formation process of economic agents about inflation rate. Using the Market Expec-tations System of Central Bank of Brazil, we perceive that agents do not update their forecasts every period and that evenagents who update disagree in their predictions. We then focus on the two most popular types of inattention models that havebeen discussed in the recent literature: sticky-information and noisy-information models. Estimating a hybrid model we findthat, although formally fitting the Brazilian data, it happens at the cost of a much higher degree of information rigidity thanobserved.
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    Survey design and forecast accuracy
    (EPGE - Escola Brasileira de Economia e Finanças, 2017) Gaglianone, Wagner Piazza; Giacomini, Raffaella; Issler, João Victor; Skreta, Vasiliki
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    Applying a microfounded-forecasting approach to predict Brazilian inflation
    (EPGE - Escola Brasileira de Economia e Finanças, 2016) Gaglianone, Wagner Piazza; Issler, João Victor; Matos, Silvia Maria
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    Incentive-driven inattention
    (2015) Giacomini, Raffaella; Gaglianone, Wagner Piazza; Issler, João Victor; Skreta, Vasiliki
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    Inattention in individual expectations
    (2015-04) Cordeiro, Yara de Almeida Campos
    This paper investigates the expectations formation process of economic agents about inflation rate. Using the Market Expectations System of Central Bank of Brazil, we perceive that agents do not update their forecasts every period and that even agents who update disagree in their predictions. We then focus on the two most popular types of inattention models that have been discussed in the recent literature: sticky-information and noisy-information models. Estimating a hybrid model we find that, although formally fitting the Brazilian data, it happens at the cost of a much higher degree of information rigidity than observed.
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    Microfounded forecasting
    (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-05) Gaglianone, Wagner Piazza; Issler, João Victor
    Our focus is on information in expectation surveys that can now be built on thousands (or millions) of respondents on an almost continuous-time basis (big data) and in continuous macroeconomic surveys with a limited number of respondents. We show that, under standard microeconomic and econometric techniques, survey forecasts are an affine function of the conditional expectation of the target variable. This is true whether or not the survey respondent knows the data-generating process (DGP) of the target variable or the econometrician knows the respondents individual loss function. If the econometrician has a mean-squared-error risk function, we show that asymptotically efficient forecasts of the target variable can be built using Hansens (Econometrica, 1982) generalized method of moments in a panel-data context, when N and T diverge or when T diverges with N xed. Sequential asymptotic results are obtained using Phillips and Moon s (Econometrica, 1999) framework. Possible extensions are also discussed.