  This paper uses predictive densities obtained via mixed causal-noncausal
autoregressive models to evaluate the statistical sustainability of Brazilian
inflation targeting system with the tolerance bounds. The probabilities give an
indication of the short-term credibility of the targeting system without
requiring modelling people's beliefs. We employ receiver operating
characteristic curves to determine the optimal probability threshold from which
the bank is predicted to be credible. We also investigate the added value of
including experts predictions of key macroeconomic variables.
