Inflation expectation and implicit inflation: does market research provide accurate measures?

Flávio de Freitas Val, Claudio Henrique da Silveira Barbedo and Marcelo Verdini Maia
Additional contact information
Flávio de Freitas Val: Central Bank
Claudio Henrique da Silveira Barbedo: IBMEC
Marcelo Verdini Maia: IAG/PUC-RIO

Brazilian Business Review, 2011, vol. 8, issue 3, 83-100

Abstract: 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. (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bbz:fcpbbr:v:8:y:2011:i:3:p:83-100

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