Estimação da Inflação Implícita de Curto Prazo

Abstract

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.

Unconventional monetary policy reaction functions: evidence from the US

“…12 Araujo and Vicente (2017) show that the short-term implicit inflation (or break-even inflation) is a good predictor of future inflation. As such, it can be extremely valuable for the conduct of monetary policy, as well as for participants in financial markets.…”

Dominância fiscal e prêmio de risco no Brasil

“…No Brasil, há um descasamento na maturidade dos títulos públicos prefixados com os indexados, isso pode prejudicar, ainda que em baixa escala, a precisão do cálculo da inflação implícita. Há que se considerar também a presença de outros componentes embutidos na taxa de juros que remuneram os títulos, conforme apontado por (Araujo & Vicente, 2017). Nesse sentido, o cálculo realizado é uma proxy da inflação implícita doméstica.…”