Inflation expectation and implicit inflation: does market research provide accurate measures?

Detalhes bibliográficos
Autor(a) principal: Val, Flávio de Freitas
Data de Publicação: 2011
Outros Autores: Barbedo, Claudio Henrique da Silveira, Maia, Marcelo Verdini
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/298
Resumo: In recent years bonds indexed to inflation rates have experienced a tremendous growth in trading volumes. These securities have become an important tool for the diversification of investors' portfolios, to liability management and especially to gauge the expectations of monetary authorities. In this environment, this study contributes as it presents an amended methodology to estimate the inflation risk premium and in applying different methodologies in the Brazilian market. The results indicate that implicit inflation measures with or without adjustment of the inflation risk premium return the smallest forecast errors in relation to the IPCA of measurement period.
id FBS-1_0ceed041e833d1a77a86a947e885e6a7
oai_identifier_str oai:ojs.pkp.sfu.ca:article/298
network_acronym_str FBS-1
network_name_str BBR. Brazilian Business Review (English edition. Online)
repository_id_str
spelling Inflation expectation and implicit inflation: does market research provide accurate measures?Expectativas inflacionárias e inflação implícita: será que pesquisas de mercado fornecem medidas precisas?Term structureinflation expectationsinflation risk premiumEstrutura a termoexpectativas de inflaçãoprêmio de risco de inflaçãoIn recent years bonds indexed to inflation rates have experienced a tremendous growth in trading volumes. These securities have become an important tool for the diversification of investors' portfolios, to liability management and especially to gauge the expectations of monetary authorities. In this environment, this study contributes as it presents an amended methodology to estimate the inflation risk premium and in applying different methodologies in the Brazilian market. The results indicate that implicit inflation measures with or without adjustment of the inflation risk premium return the smallest forecast errors in relation to the IPCA of measurement period.Nos últimos anos os títulos indexados em índices inflacionários têm experimentado um grande crescimento nos volumes negociados. Estes títulos tornaram-se um importante instrumento para a diversificação das carteiras dos investidores, para administração de passivos e principalmente para aferição de expectativas de autoridades monetárias. Neste ambiente, este trabalho contribui ao apresentar uma metodologia modificada de estimação do prêmio de risco de inflação e por aplicar diferentes metodologias no mercado brasileiro. Os resultados indicam que as medidas de inflação implícita com ou sem ajuste do prêmio de risco de inflação retornam os menores erros de previsão em relação ao IPCA ocorrido.FUCAPE Business Shool2011-07-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/29810.15728/bbr.2011.8.3.5Brazilian Business Review; Vol. 8 No. 3 (2011): July to September 2011; 83-100Brazilian Business Review; v. 8 n. 3 (2011): Julho a Setembro de 2011; 83-1001808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/298/451http://www.bbronline.com.br/index.php/bbr/article/view/298/452Val, Flávio de FreitasBarbedo, Claudio Henrique da SilveiraMaia, Marcelo Verdiniinfo:eu-repo/semantics/openAccess2018-11-06T19:55:51Zoai:ojs.pkp.sfu.ca:article/298Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:55:51BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Inflation expectation and implicit inflation: does market research provide accurate measures?
Expectativas inflacionárias e inflação implícita: será que pesquisas de mercado fornecem medidas precisas?
title Inflation expectation and implicit inflation: does market research provide accurate measures?
spellingShingle Inflation expectation and implicit inflation: does market research provide accurate measures?
Val, Flávio de Freitas
Term structure
inflation expectations
inflation risk premium
Estrutura a termo
expectativas de inflação
prêmio de risco de inflação
title_short Inflation expectation and implicit inflation: does market research provide accurate measures?
title_full Inflation expectation and implicit inflation: does market research provide accurate measures?
title_fullStr Inflation expectation and implicit inflation: does market research provide accurate measures?
title_full_unstemmed Inflation expectation and implicit inflation: does market research provide accurate measures?
title_sort Inflation expectation and implicit inflation: does market research provide accurate measures?
author Val, Flávio de Freitas
author_facet Val, Flávio de Freitas
Barbedo, Claudio Henrique da Silveira
Maia, Marcelo Verdini
author_role author
author2 Barbedo, Claudio Henrique da Silveira
Maia, Marcelo Verdini
author2_role author
author
dc.contributor.author.fl_str_mv Val, Flávio de Freitas
Barbedo, Claudio Henrique da Silveira
Maia, Marcelo Verdini
dc.subject.por.fl_str_mv Term structure
inflation expectations
inflation risk premium
Estrutura a termo
expectativas de inflação
prêmio de risco de inflação
topic Term structure
inflation expectations
inflation risk premium
Estrutura a termo
expectativas de inflação
prêmio de risco de inflação
description In recent years bonds indexed to inflation rates have experienced a tremendous growth in trading volumes. These securities have become an important tool for the diversification of investors' portfolios, to liability management and especially to gauge the expectations of monetary authorities. In this environment, this study contributes as it presents an amended methodology to estimate the inflation risk premium and in applying different methodologies in the Brazilian market. The results indicate that implicit inflation measures with or without adjustment of the inflation risk premium return the smallest forecast errors in relation to the IPCA of measurement period.
publishDate 2011
dc.date.none.fl_str_mv 2011-07-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/298
10.15728/bbr.2011.8.3.5
url http://www.bbronline.com.br/index.php/bbr/article/view/298
identifier_str_mv 10.15728/bbr.2011.8.3.5
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/298/451
http://www.bbronline.com.br/index.php/bbr/article/view/298/452
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 8 No. 3 (2011): July to September 2011; 83-100
Brazilian Business Review; v. 8 n. 3 (2011): Julho a Setembro de 2011; 83-100
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
_version_ 1754732238015037440

Registros relacionados