 Disagreement in expectations about public debt, monetary policy credibility and inflation risk premiumGabriel Montes and Alexandre Curi Journal of Economics and Business, 2017, vol. 93, issue C, 46-61 Abstract: This paper analyzes the determinants of the inflation risk premium in Brazil during the Inflation Targeting period. In particular, different from the existing studies, we analyze the influence of both public debt expectations and disagreement in expectations about public debt on the inflation risk premium, and also the effect of monetary policy credibility on the inflation risk premium. The findings bring two important policy implications. One related to the effect of the expectations formed for the commitment of the government with debt management; and the other related to the effect of the expectations formed for the central bank’s commitment with the Inflation Targeting regime. The results suggest the disagreement in expectations about the public debt affects the inflation risk premium. Furthermore, the findings also suggest the degree of anchorage of inflation expectations in relation to the inflation target (i.e., the monetary policy credibility) affects the inflation risk premium. Keywords: Disagreement in expectations; Risk premium; Interest rate; Credibility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:93:y:2017:i:c:p:46-61 DOI: 10.1016/j.jeconbus.2017.06.003 Access Statistics for this article Journal of Economics and Business is currently edited by Emanuele Bajo and Moritz Ritter More articles in Journal of Economics and Business from Elsevier |
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