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Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil
| Content Provider | Semantic Scholar |
|---|---|
| Author | Fernandes, Marcelo Thiele, Eduardo |
| Copyright Year | 2014 |
| Abstract | 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. |
| Starting Page | 3 |
| Ending Page | 22 |
| Page Count | 20 |
| File Format | PDF HTM / HTML |
| DOI | 10.12660/bre.v35n12015.17002 |
| Volume Number | 35 |
| Alternate Webpage(s) | http://bibliotecadigital.fgv.br/dspace/bitstream/handle/10438/11725/TD%20364%20-%20CEQEF%2021%20-%20Eduardo%20Thiele%20e%20Marcelo%20Fernandes.pdf?isAllowed=y&sequence=1 |
| Alternate Webpage(s) | https://doi.org/10.12660/bre.v35n12015.17002 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
