Inflação implícitauma análise comparativa sobre o poder de previsão de modelos acadêmicos e de mercado

Resumo

In this paper, I estimated the Brazilian implicit inflation through the differential between the term structure of the fixed-rate interest rate and the coupon indexed to the IPCA (NTN-B and DAP), using a different methodology proposed by Vicente and Araújo (2017). Implicit inflation can be seen as a proxy for expected inflation. Then, based on a monthly sample of mobile training starting between 2014 and 2016, I obtained forecasts up to June 2019 for the inflation rate, considering 1 to 4 months as the projection horizon and the following factors: activity measured by industrial production, past inflation measured by the IPCA, future inflation measured by the implied and future inflation measured by the expectation of inflation disclosed in the Focus top five survey conducted by the Central Bank of Brazil. The results suggest that theoretical curves - such as those of traditional Phillips with different expectation measures or the sarima mo dei - do not surpass the random walk in terms of the least average forecast error. The modified Phillips curve, which replaces expected inflation with the difference between implicit inflation and Focus top five as a proxy for innovation in future inflation, proved to be the best predictor for inflation 1 month ahead, with a forecast higher than the random walk optimized (with constant and autoregressive adjustment) and with a prediction equivalent to that of the IPCA-15 antecedent indicator.

Ficha do documento

Tipo

Dissertação

Ano

2019

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/27874

Temas

Economia

Palavras-chave

Inflação implícitaTítulos pré-fixadosCupons de IPCAExpectativas de inflaçãoFocus top fiveRandom walkImplicit inflationFixed-rate securitiesIPCA couponsInflation expectationsEconomiaTaxa de inflaçãoTítulos públicosTítulos (Finanças)Inflação e investimentoRisco (Economia)