Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country

This paper investigates whether news-based measures of economic uncertainty affect professional forecasters' disagreement about economic variables and economic policy instruments in Brazil. With the use of an "Economic Policy Uncertainty" index and a "Media Uncertainty" index to construct an index of economic uncertainty unrelated to policy, we study the effects of economic policy uncertainty and policy-unrelated economic uncertainty on professional forecasters' disagreement. With the use of data from January 2002 to January 2021, we find that disagreements in expectations increase with both higher economic policy uncertainty and higher policy-unrelated economic uncertainty. An exception is disagreement about future inflation, corroborating the importance inflation targeting for anchoring inflation expectations. We further show that economic policy uncertainty affects disagreement about Brazilian fiscal policy, whereas it does not affect disagreement about Brazilian monetary policy.