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.;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Does Curvature Enhance Forecasting?,"
Working Papers Series
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- Caio Almeida & Romeu Gomes & André Leite & Axel Simonsen & José Vicente, 2009. "Does Curvature Enhance Forecasting?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1171-1196.
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- Francis Breedon & Jag Chadha, 1997. "The Information Content of the Inflation Term Structure," Bank of England working papers 75, Bank of England.
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