Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil
Saved in:
| Main Author: | |
|---|---|
| Publication Date: | 2014 |
| Other Authors: | |
| Format: | Article |
| Language: | por |
| Source: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Download full: | https://hdl.handle.net/10438/11725 |
Summary: | This paper aims to analyze the dynamics of inflation expectations according to macroeconomics conditions. To this end, we extract the expected inflation curve implied by indexed bonds and then estimate a dynamic factor model. The factors corresponds to the level, slope and curvature of the term structure, varying over time as a function of the exchange rate, inflation, commodities index and the CDS-implied Brazil risk. A standard deviation shock in the exchange rate increases inflation more in the short and long terms than in the medium run. The same pattern arises in the presence of a shock in inflation. A shock in commodity prices increases inflation mostly in the short term, stabilizing notwithstanding at a higher level than the original curve. In contrast, a shock in the CDS shifts down the expected inflation curve in a virtually parallel manner. |