Do inflation-linked bonds contain information about future inflation?
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402013000200006 |
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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Do inflation-linked bonds contain information about future inflation?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.Fundação Getúlio Vargas2013-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402013000200006Revista Brasileira de Economia v.67 n.2 2013reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402013000200006info:eu-repo/semantics/openAccessVicente,José Valentim MachadoGuillen,Osmani Teixeira de Carvalhoeng2013-11-26T00:00:00Zoai:scielo:S0034-71402013000200006Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2013-11-26T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false |
dc.title.none.fl_str_mv |
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 |
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 |
topic |
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 |
2013-06-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402013000200006 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402013000200006 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/S0034-71402013000200006 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia v.67 n.2 2013 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 |
_version_ |
1754115905549238272 |