Decompondo a Inflação Implícita

Vicente, José Valentim Machado; Graminho, Flávia Mourão

doi:10.5935/0034-7140.20150012

Cited by 8 publications

(10 citation statements)

References 8 publications

(13 reference statements)

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“…A inflação implícita representa a expectativa de inflação no mundo neutro ao risco. Ela pode ser decomposta da seguinte forma (veja Vicente e Graminho, 2015): 229 Inflação Implícita = Expectativa de Inflação + Prêmio de Risco da Inflação -Prêmio de Liquidez + Convexidade.…”

Section: Introductionunclassified

“…Já o termo de convexidade é apenas uma correção matemática advinda da transformação de preços em taxas via uma função convexa. Vicente e Graminho (2015) mostraram que o prêmio de liquidez e o termo de convexidade são desprezíveis no mercado brasileiro. O prêmio de risco da inflação é uma remuneração exigida pelos investidores de títulos nominais como proteção contra perdas reais do valor pago por esses títulos.…”

Section: Introductionunclassified

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Estimação da Inflação Implícita de Curto Prazo

Araújo

Vicente

2018

Braz. Rev. Fin.

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Implicit inflation or break-even inflation rate (BEIR) is the difference between nominal and real interest rates. In the Brazilian market, we can obtain it from indexed government bonds. However, when dealing with short-term BEIR, this task presents two difficulties: a) inflation-indexed bonds have indexation lags; b) inflation seasonality implies real interest rate seasonality. The aim of this paper is to propose a methodology to estimate the short-term BEIR that addresses these two issues. Assuming a negligible inflation risk premium in the short run, we evaluate the predictive ability of the BEIR by confronting it with expectations based on the market analysts’ forecasts published on the Focus Survey. The results show that the BEIR is competitive when compared to the Focus Survey. An advantage of the BEIR is that it allows monitoring of expectations better than surveys, since it is continuously updated.

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Section: Introductionunclassified

Estimação da Inflação Implícita de Curto Prazo

Araújo

Vicente

2018

Braz. Rev. Fin.

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“…Their results evince that macroeconomic shocks affect the term structure of inflation expectations in a different manner according to the horizon. Finally, Vicente and Graminho (2014) study the liquidity and convexity effects on the inflation risk premia embedded in the Brazilian government bonds. They find that both liquidity and convexity effects are not statistically significant once one controls for expected inflation.…”

Section: Related Workmentioning

confidence: 99%

“…We disregard convexity and liquidity effects on the inflation risk premia given the evidence in Vicente and Graminho (2014) and proxy expected inflation by the Focus' median inflation forecast. To compute the inflation risk premium at time t for maturity τ , it then suffices to substract the corresponding expected inflation from the breakeven inflation rate.…”

Section: Datamentioning

confidence: 99%

Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil

Doi¹,

Fernandes²,

Nunes³

2017

Brazilian Review of Econometrics

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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.

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“…Vicente & Graminho (2015) decompõem a inflação implícita para o mercado brasileiro da seguinte forma: inflação implícita = expectativa de inflação + prêmio de risco de inflação -prêmio de liquidez + convexidade. Utilizando dados de janeiro de 2006 a setembro de 2013, os resultados indicam que o prêmio de liquidez e a convexidade possuem valores muito pequenos, abaixo de 1 ponto-básico para o horizonte de 1 ano, e podem ser desconsiderados.…”

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Ensaios Sobre a Precificação Empírica De Ativos, Política Monetária E Suas Inter-Relações

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Decompondo a Inflação Implícita

Abstract: Sumário: 1. Introdução; 2. Títulos pré e indexados a inflação; 3. Inflação implícita e as curvas de juros real e nominal; 4. Decompondo a inflação implícita; 5

Cited by 8 publications

References 8 publications

Estimação da Inflação Implícita de Curto Prazo

Estimação da Inflação Implícita de Curto Prazo

Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil

Ensaios Sobre a Precificação Empírica De Ativos, Política Monetária E Suas Inter-Relações

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