Do inflation-linked bonds contain information about future inflation?

Detalhes bibliográficos
Autor(a) principal: Vicente, José Valentim Machado
Data de Publicação: 2013
Outros Autores: Guillen, Osmani Teixeira de Carvalho
Tipo de documento: Artigo
Idioma: por
eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: https://periodicos.fgv.br/rbe/article/view/7365
Resumo: There is a widespread belief that inflation-linked bonds are a direct source of information about inflation expectations. In this paper we address this issue by analyzing the relationship between break-even inflation (the difference between nominal and real yields) and future inflation. The dataset is extracted from Brazilian Treasury bonds covering the period from April 2005 to April 2011. We find that break-even inflation is an unbiased forecast only of the 3-month and 6-month ahead inflation. For medium horizons (12 and 18 months), break-even inflation has weak explanatory power of future inflation. Over long horizons (24 and 30 months), we report a significant, but counterintuitive, negative relationship between the break-even and realized inflation rates.
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spelling Do inflation-linked bonds contain information about future inflation?Do inflation-linked bonds contain information about future inflation?Inflation-Linked BondsReal and Nominal YieldsTerm PremiaBreak-EvenInflation.Inflation-Linked BondsReal and Nominal YieldsTerm PremiaBreak-Even InflationThere is a widespread belief that inflation-linked bonds are a direct source of information about inflation expectations. In this paper we address this issue by analyzing the relationship between break-even inflation (the difference between nominal and real yields) and future inflation. The dataset is extracted from Brazilian Treasury bonds covering the period from April 2005 to April 2011. We find that break-even inflation is an unbiased forecast only of the 3-month and 6-month ahead inflation. For medium horizons (12 and 18 months), break-even inflation has weak explanatory power of future inflation. Over long horizons (24 and 30 months), we report a significant, but counterintuitive, negative relationship between the break-even and realized inflation rates.Há uma crença generalizada de que títulos indexados a inflação são uma fonte de informação sobre a inflação futura. Neste artigo, nós estudamos essa questão analisando a relação entre a break-even inflation (diferença entre as taxas nominai e reais) e a inflação futura. A base de dados é extraída de títulos do tesouro brasileiro cobrindo o período de Abril de 2005 até Julho de 2010. Nós mostramos que a break-even inflation é um estimador não viesado da inflação somente para os horizontes de 3 e 6 meses. Para os horizontes médios (12 e 18 meses), a break-even inflation tem fraco poder explanatório da inflação futura. Para horizontes longos (24 e 30 meses), nós reportamos uma relação significante, porém negativa entre a a break-even inflation e a inflação realizada.EGV EPGE2013-06-06info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/7365Revista Brasileira de Economia; Vol. 67 No. 2 (2013): Abr-Jun; 251-260Revista Brasileira de Economia; v. 67 n. 2 (2013): Abr-Jun; 251-2601806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporenghttps://periodicos.fgv.br/rbe/article/view/7365/7886https://periodicos.fgv.br/rbe/article/view/7365/7887Vicente, José Valentim MachadoGuillen, Osmani Teixeira de Carvalhoinfo:eu-repo/semantics/openAccess2016-12-16T12:25:47Zoai:ojs.periodicos.fgv.br:article/7365Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:32.938199Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true
dc.title.none.fl_str_mv Do inflation-linked bonds contain information about future inflation?
Do inflation-linked bonds contain information about future inflation?
title Do inflation-linked bonds contain information about future inflation?
spellingShingle Do inflation-linked bonds contain information about future inflation?
Vicente, José Valentim Machado
Inflation-Linked Bonds
Real and Nominal Yields
Term Premia
Break-Even
Inflation.
Inflation-Linked Bonds
Real and Nominal Yields
Term Premia
Break-Even Inflation
title_short Do inflation-linked bonds contain information about future inflation?
title_full Do inflation-linked bonds contain information about future inflation?
title_fullStr Do inflation-linked bonds contain information about future inflation?
title_full_unstemmed Do inflation-linked bonds contain information about future inflation?
title_sort Do inflation-linked bonds contain information about future inflation?
author Vicente, José Valentim Machado
author_facet Vicente, José Valentim Machado
Guillen, Osmani Teixeira de Carvalho
author_role author
author2 Guillen, Osmani Teixeira de Carvalho
author2_role author
dc.contributor.author.fl_str_mv Vicente, José Valentim Machado
Guillen, Osmani Teixeira de Carvalho
dc.subject.por.fl_str_mv Inflation-Linked Bonds
Real and Nominal Yields
Term Premia
Break-Even
Inflation.
Inflation-Linked Bonds
Real and Nominal Yields
Term Premia
Break-Even Inflation
topic Inflation-Linked Bonds
Real and Nominal Yields
Term Premia
Break-Even
Inflation.
Inflation-Linked Bonds
Real and Nominal Yields
Term Premia
Break-Even Inflation
description There is a widespread belief that inflation-linked bonds are a direct source of information about inflation expectations. In this paper we address this issue by analyzing the relationship between break-even inflation (the difference between nominal and real yields) and future inflation. The dataset is extracted from Brazilian Treasury bonds covering the period from April 2005 to April 2011. We find that break-even inflation is an unbiased forecast only of the 3-month and 6-month ahead inflation. For medium horizons (12 and 18 months), break-even inflation has weak explanatory power of future inflation. Over long horizons (24 and 30 months), we report a significant, but counterintuitive, negative relationship between the break-even and realized inflation rates.
publishDate 2013
dc.date.none.fl_str_mv 2013-06-06
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articles
Artigos
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.fgv.br/rbe/article/view/7365
url https://periodicos.fgv.br/rbe/article/view/7365
dc.language.iso.fl_str_mv por
eng
language por
eng
dc.relation.none.fl_str_mv https://periodicos.fgv.br/rbe/article/view/7365/7886
https://periodicos.fgv.br/rbe/article/view/7365/7887
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 EGV EPGE
publisher.none.fl_str_mv EGV EPGE
dc.source.none.fl_str_mv Revista Brasileira de Economia; Vol. 67 No. 2 (2013): Abr-Jun; 251-260
Revista Brasileira de Economia; v. 67 n. 2 (2013): Abr-Jun; 251-260
1806-9134
0034-7140
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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