Rationality and seasonality: Evidence from inflation forecasts

•The study examines the seasonal pattern in expectations.•We use Israeli survey forecasts of quarterly inflation without seasonal adjustment.•Rationality is tested with respect to (trivial) information about calendar quarter.•We find significant prediction biases, which differ across calendar quarters.•Seasonal bias is strongest at shorter horizons and in a low inflation environment.

We examine the seasonal pattern in expectations, using a unique Israeli survey of quarterly inflation forecasts. Rationality is rejected with respect to (trivial) information about calendar quarter. Seasonal bias is strongest at shorter horizons and in a low inflation environment.