Inflation expectation and implicit inflation: does market research provide accurate measures?
AbstractIn 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.
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Bibliographic InfoArticle provided by Fucape Business School in its journal Brazilian Business Review.
Volume (Year): 8 (2011)
Issue (Month): 3 (July)
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Term structure; inflation expectations; inflation risk premium.;
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Working Papers Series
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- J. Benson Durham, 2006. "An estimate of the inflation risk premium using a three-factor affine term structure model," Finance and Economics Discussion Series 2006-42, Board of Governors of the Federal Reserve System (U.S.).
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