Expectativas Inflacionárias e Inflação Implícita no Mercado Brasileiro

Flávio Val, Claudio Barbedo and Marcelo Maia

No 225, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: The trade volume of inflation indexed bonds has grown substantially in the treasury debt market. These bonds have been used as an important instrument for both diversifying investor´s portfolio, for managing firms´ liabilities and, mainly, for extracting inflation expectations by policymakers. This paper adds to the literature in twofold. First, we apply methodologies to obtain inflation expectations. Thus, we modified the method used in Durham (2007) to estimate the inflation risk premium. Second, we apply these methods in the Brazilian debt market for inflation indexed bonds issued from 2006 to 2008. Our results show that these methods perform better about inflation expectations, providing a more robust support for policymakers´ decisions.

Date: 2010-11
New Economics Papers: this item is included in nep-cba and nep-mac
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