Análise das previsões da meta da taxa selic realizadas por agentes de mercado

Abstract

Considering that several economic players in Brazil anchor their expectations based on professionalss estimates compiled and released weekly by the Central Bank of Brazil, with broad coverage by the media, surged the idea of testing the accuracy of those estimations, particularly the ones for the Selic interest rate target, in many horizons of projection, by comparing the number more commonly used, the median, with the mean of those same expectations, the median from the top 5 long term participants, with rates from interest rate swaps registered in BMFBovespa with similar terms, and with projections made by a statistical univariate model. The result shows that between june 2010 and december 2012, professional estimates, including the interest rate swaps, deviated less from actual values within short term predictions, when compared with the errors presented by the statistical model. Nevertheless, when considering longer estimations, from seven to twelve months, the projections from the model deviated less when compared with those from market participants. Despite this finding, it is important to highlight that these models estimations can not be considered good ones, but only less worse than those made by professionals, showing that their estimations may not be the best possible previsions.