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

Flávio de Freitas Val | Zendy; Cláudio Henrique da Silveira Barbedo | Zendy; Marcelo Verdini Maia | Zendy

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

Author(s) -

Flávio de Freitas Val,

Cláudio Henrique da Silveira Barbedo,

Marcelo Verdini Maia

Publication year - 2011

Publication title -

brazilian business review

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.176

H-Index - 4

ISSN - 1808-2386

DOI - 10.15728/bbr.2011.8.3.5

Subject(s) - diversification (marketing strategy) , inflation (cosmology) , economics , liability , risk premium , monetary economics , real interest rate , econometrics , bond , monetary policy , financial economics , business , finance , physics , marketing , theoretical physics

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.

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