Inflation expectation and implicit inflation: does market research provide accurate measures?/Expectativas inflacionarias e inflacao implicita: sera que pesquisas de mercado fornecem medidas precisas?

In recent years bonds indexed to inflation rates have experienced a tremendous growth in trading volumes. These securities have become an important tool for the diversification of investors' portfolios, to liability management and especially to gauge the expectations of monetary authorities. In...

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Bibliographic Details
Published in:BBR Brazilian business review (Portuguese ed.) 2011-07, Vol.8 (3), p.83
Main Authors: Val, Flavio de Freitas, Barbedo, Claudio Henrique da Silveira, Maia, Marcelo Verdini
Format: Article
Language:Portuguese
Subjects:
Inflation (Finance)
Liability (Law)
Measurement
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Summary:In recent years bonds indexed to inflation rates have experienced a tremendous growth in trading volumes. These securities have become an important tool for the diversification of investors' portfolios, to liability management and especially to gauge the expectations of monetary authorities. In this environment, this study contributes as it presents an amended methodology to estimate the inflation risk premium and in applying different methodologies in the Brazilian market. The results indicate that implicit inflation measures with or without adjustment of the inflation risk premium return the smallest forecast errors in relation to the IPCA of measurement period. Keywords: Term structure; inflation expectations; inflation risk premium. Nos ultimos anos os titulos indexados em indices inflacionarios tem experimentado um grande crescimento nos volumes negociados. Estes titulos tornaram-se um importante instrumento para a diversificacao das carteiras dos investidores, para administracao de passivos e principalmente para afericao de expectativas de autoridades monetarias. Neste ambiente, este trabalho contribui ao apresentar uma metodologia modificada de estimacao do premio de risco de inflacao e por aplicar diferentes metodologias no mercado brasileiro. Os resultados indicam que as medidas de inflacao implicita com ou sem ajuste do premio de risco de inflacao retornam os menores erros de previsao em relacao ao IPCA ocorrido. Palavras-chave: Estrutura a termo; expectativas de inflacao; premio de risco de inflacao.
ISSN:1807-734X