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Expectativas Inflacionárias e Inflação Implícita no Mercado Brasileiro

Author

Listed:
  • Flávio de Freitas Val
  • Claudio Henrique da Silveira Barbedo
  • Marcelo Verdini Maia

Abstract

The trade volume of inflation indexed bonds has grown substantially in the treasury debt market. These bonds have been used as an important instrument for both diversifying investor´s portfolio, for managing firms´ liabilities and, mainly, for extracting inflation expectations by policymakers. This paper adds to the literature in twofold. First, we apply methodologies to obtain inflation expectations. Thus, we modified the method used in Durham (2007) to estimate the inflation risk premium. Second, we apply these methods in the Brazilian debt market for inflation indexed bonds issued from 2006 to 2008. Our results show that these methods perform better about inflation expectations, providing a more robust support for policymakers´ decisions.

Suggested Citation

  • Flávio de Freitas Val & Claudio Henrique da Silveira Barbedo & Marcelo Verdini Maia, 2010. "Expectativas Inflacionárias e Inflação Implícita no Mercado Brasileiro," Working Papers Series 225, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:225
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/TD225.pdf
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    Cited by:

    1. Nunes, Clemens Vinicius & Doi, Jonas & Fernandes, Marcelo, 2017. "Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.

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