Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil

Eduardo Thiele and Marcelo Fernandes

No 364, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: This paper aims to analyze the dynamics of inflation expectations according to macroeconomics conditions. To this end, we extract the expected inflation curve implied by indexed bonds and then estimate a dynamic factor model. The factors corresponds to the level, slope and curvature of the term structure, varying over time as a function of the exchange rate, inflation, commodities index and the CDS-implied Brazil risk. A standard deviation shock in the exchange rate increases inflation more in the short and long terms than in the medium run. The same pattern arises in the presence of a shock in inflation. A shock in commodity prices increases inflation mostly in the short term, stabilizing notwithstanding at a higher level than the original curve. In contrast, a shock in the CDS shifts down the expected inflation curve in a virtually parallel manner.

Date: 2014-05-05
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:eesptd:364

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