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Política monetaria y formación de expectativas de inflación. ¿Quién acertó más, el gobierno o el mercado a futuro?

  • Garcia, Márcio G.P.

    (Departamento de Economía, Pontificia Universidad Católica de Rio de Janeiro)

This paper uses the futures market for the price level data to compare the relative performance of this market to the Brazilian economic authorities in forecasting inflation. The main result are: i)the futures market performed much better than the government; ii)the market`s forecasts are almost always larger than the government`s; and iii)the government`s inflation forecasts announced daily by the government. Those announcements were shown to have a clear downward financial gains, or from the belief that the government`s announcements have a coordination role in the market. The results seem not to corroborate the belief that the government is able to paly such role. Finally, the analysis of the futures market behavior shows that volatility is less important than the futures price bias. This may be a result of the inefficiency of this market in aggregating inflation expectations.// Este artículo utiliza el comportamiento del mercado a futuro de índices de precios para comparar las previsiones de la inflación proveneintes de este mercado con las divulgadas por la autoridades económicas en Brasil. Los principales hallazgos son: i) las previsiones acerca de la inflación provenientes de los mercados a futuros fueron más precisas que las oficiales; ii)los valores de la serie de previsiones del mercado a futuro son casi siempres superiores a los valores de la serie de previsiones provenientes de las OTNF/BTFN, y iii)las "previsiones inflacionarias" incluidas en la tasa overnight tuvieron mejor desempeño que las de OTNF/BTNF. Tales resultados sugieren que el gobierno divulgaba siempre una expectativa muy conservadora (sesgada hacia abajo) de la inflación esperada, vía los anuncios de la OTNF/BTNF. La subestimación de la tasa inflacionaria podría ser interpretada como el instrumento por el cual el gobierno tasaría parte del lucro financiero inflacionario y podría ejercer el papel de coordinador de las expectativas del mercado, lo que vendría a reducir la inflación. Sin embargo, el comportamiento de las series presentadas no parecen corroborar tal interpretación acerca de los objetivos del gobierno. Finalmente, el comportamiento del mercado a futuro muestra también que la volatibilidad de este mercado tiene una importancia menor que el sesgo del precio a futuro. Esto puede significar que el mercado a futuro es poco eficiente en la agregación de las expectativas inflacionarias.

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Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXII(1) (1995)
Issue (Month): 245 (enero-marzo)
Pages: 97-128

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Handle: RePEc:elt:journl:v:62:y:1995:i:245:p:97-128
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