Extracting inflation risk premium from nominal and real bonds using survey information

Resumo

Purpose: The purpose of this paper is to forecast future inflation using a joint model of the nominal and real yield curves estimated with survey data. The model is arbitrage free and embodies incompleteness between the nominal and real bond markets. Design/methodology/approach: The methodology is based on the affine class of term structure of interest rate. The model is estimated using the Kalman filter technique. Findings: The authors show that the inclusion of survey data in the estimation procedure improves significantly the inflation forecasting. Moreover, the authors find that the monetary policy has significant effects on the inflation expectation and risk premium. Originality/value: This paper is the first to estimate inflation using a joint model of nominal and real yield curves with Brazilian data. Moreover, the authors propose a simple arbitrage-free model that takes it account incompleteness between the nominal and real bond markets. © 2018, Emerald Publishing Limited.

Ficha do documento

Tipo

Artigo científico

Ano

2018

Instituição

Emerald Group Publishing Ltd.

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso restrito

DOI

10.1108/JES-03-2017-0066

Identificador

oai:repositorio.fgv.br:10438/25553

Temas

Economia

Palavras-chave

Affine modelsBreak-even inflation rateInflation risk premiumInflação