Análise da evolução dos fatores de nível, inclinação e curvatura da inflação implícita no mercado brasileiro

Abstract

This paper aims to study the implied inflation term structure, its behaviour over time and compare its rates with the expectations for inflation on the Focus Report. Also, linear regressions were applied to evaluate if the factors of level, slope and curvature that define the implied inflation maintain a relationship with financial and macroeconomic variables. Furthermore, an investigation is conducted to ascertain if the resulting model has a more accurate projection capability than a random walk. The analysis shows that the implied inflation had a stable form with few alterations until a shock in 2014 that continued throughout 2015 stabilizing again in 2016. The comparison with the Focus Report presented a strong relation what is in agreement with the literature to this respect in the Brazilian market. The linear regression concluded that there were statistically significant relations between the independent variables and the level, slope and curvature of the implied inflation. The review between the model obtained through the linear regressions and the random walk show that the first appears to be consistently more accurate which is confirmed through a Diebold and Mariano (1995) test.