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
“…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
“…J á 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.…”
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.
“…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.…”
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.
“…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.…”
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.
“…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.…”
Val, Flávio de Freitas; Klotzle, Marcelo Cabus (Advisor). Essays on Empirical Asset Pricing, Monetary Policy and their InterRelations. Rio de Janeiro, 2016. 134p.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.