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Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.
- Source :
- International Economics (2110-7017); Oct2020, Vol. 163, p72-91, 20p
- Publication Year :
- 2020
-
Abstract
- Our objective in this paper is to build expectations anchoring indexes for inflation in Brazil that are fundamentally driven by the monetary authority's capacity to anchor long-term inflation expectations. The expectations anchoring indexes are generated from a Kalman filter, based on a state-space model that also takes into account fiscal policy dynamics. The model's signals are constructed using inflation expectations from the Focus survey of professional forecasters, conducted by the Central Bank of Brazil, and from the swap and federal government bond markets, which convey daily information of long-term inflation expectations. Although varying across specifications, the expectations anchoring indexes that we propose tend to display a downward trajectory, more clearly in 2009, and show a recovery starting in 2016 until the end of the sample (mid-2017). [ABSTRACT FROM AUTHOR]
- Subjects :
- KALMAN filtering
SIGNAL filtering
GOVERNMENT securities
BOND market
FISCAL policy
Subjects
Details
- Language :
- English
- ISSN :
- 21107017
- Volume :
- 163
- Database :
- Supplemental Index
- Journal :
- International Economics (2110-7017)
- Publication Type :
- Academic Journal
- Accession number :
- 145212196
- Full Text :
- https://doi.org/10.1016/j.inteco.2020.04.007