The aim of this study is to investigate the link between the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil and disagreements in inflation forecasts. We gauge the former by the difference between the breakeven inflation rate and agents' inflation median expectations in the Focus Survey published by the Central Bank of Brazil. To proxy for disagreement, we employ the standard deviation of the 12-month inflation expectations in the Focus Survey. We first estimate the impact of disagreement on inflation risk premia across different horizons using a VAR approach. We find that shocks in inflation forecast disagreement significantly affect the 9-, 12-, 24-and 36-month inflation risk premia. The impact is positive, increasing with maturity at least up to 12 months. We then estimate an alternative VAR specification that summarizes the term structure of inflation risk premia by means of level, slope and curvature factors. It turns out that shocks in disagreement do not affect the slope and curvature factors, resulting only in parallel shifts in the inflation premium term structure. This is in line with the fact that the higher the dispersion in inflation expectations, the higher is the compensation that investors will require to hold fixed rate bonds.
Entre os indicadores macro, consideramos a taxa de câmbio em real por dólar, o ágio do credit default swap (CDS) Brasil, o índice de preço de commodities, a taxa de cupom cambial futura, a taxa futura de juros em dólar (London Interbank Offered Rate – LIBOR), a volatilidade implícita da taxa de câmbio e a inflação implícita no Brasil. O modelo possui excelente aderência para a estrutura a termo do cupom cambial, explicando cerca de 95% de sua variação. Aumentos no ágio do CDS, na taxa de cupom cambial de três meses, na LIBOR, no índice de preço de commodities e na volatilidade implícita do câmbio estão diretamente relacionados com aumentos na curva de cupom cambial. Por sua vez, encontramos uma associação positiva da expectativa de depreciação cambial com cupons cambiais mais curtos e negativa com a parte mais longa da curva. Choques na inflação implícita têm um pequeno impacto positivo para vencimentos curtos, mas levemente negativo para vencimentos mais longos.
uma análise da estratégia nacional de desenvolvimento da Malásia cLeoMaR GoMes cLeMens nunes* An analysis of the national development strategy of Malaysia. This paper aims at studying Malaysia's national development strategy in the last three decades. Firstly, we will give emphasis to the country's economic planning development, its mediumterm and long-term plans, as well as Mahathir's political influence. Secondly, we will try to identify key elements in the Malaysian growth process, such as its exchange rate and current account policies, the participation of the government in the whole process and matters related to domestic savings and foreign direct investment. We will also talk about the 1997 financial crisis.
This paper describes the dynamics of the level, slope and curvature of the Brazilian nominal yield curve using only observable macroeconomic indicators. The model is able to explain 94.5% of the variation in the yield curve. We find that the main drivers of the level factor is the Brazil risk premium (5-year CDS spread) and the unemployment rate. In turn, the slope steepens with increases either in the SELIC rate or in the spot exchange rate, and flattens with increases in unemployment rate and commodity returns. Lastly, the curvature increases with the unemployment, inflation and SELIC rates, but decreases with changes in the exchange rate.
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