Inflação implícita e o prêmio pelo risco: uma alternativa aos modelos Var na previsão para o IPCA
Keywords:
Break-even inflation rate, Inflation forecasting, Inflation risk premiumAbstract
The present paper examines, for the Brazilian case, if implied inflation extracted from
fixed income securities is an unbiased estimator of consumer inflation, measured by
the IPCA. Our estimates suggest that break-even inflation rates – or just BEIRs – are
informative about future inflation, especially for the maturity of three months. The main
innovation of our work, however, is the method used for estimation, allowing us to
conclude that inflation risk, for some of the maturities considered, varies over time and
is not irrelevant from the economic standpoint. We also compared the inflation forecasts
obtained from BEIRs with the ones extracted from VAR models used by Central Bank
and estimates of Focus Report’s Top5s. The forecasts performed with BEIRs showed
greater accuracy than those extracted from VAR models, though less precision than
those generated by the Top5s.
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