{"title":"Multivariate Spatial IV Regression","authors":"Marcus L. Nascimento, C. A. Abanto-Valle, Mario Jorge Cardoso Mendonca","doi":"10.12660/BRE.V38N22018.74235","DOIUrl":"https://doi.org/10.12660/BRE.V38N22018.74235","url":null,"abstract":"<pre>In this paper, a Multivariate Spatial Regression model with\u0000 Endogenous Variables </pre><pre>is proposed. In order to deal\u0000 with <span>endogeneity</span> and spatial dependence,\u0000 </pre><pre>the instrumental variables (IV) methodology and an\u0000 autoregressive spatial structure, </pre><pre>frequently used in\u0000 econometric applications, are implemented. A Bayesian inference\u0000 </pre><pre>procedure based on simulation schemes designed to\u0000 obtain samples from the </pre><pre>posterior distribution of\u0000 model parameters is developed. Finally, the methodology\u0000 </pre><pre>is illustrated through an application to the impact\u0000 of broadband access on the </pre><pre>economic sectors.\u0000 </pre>","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133766601","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-05-25DOI: 10.12660/BRE.V38N12018.56157
Enlinson Mattos, Pedro Santos
Este trabalho propoe um metodo para identificar e corrigir a distorcao observada na distribuicao de populacao dos municipios brasileiros presente nos dados de Censo Demografico (Monasterio, 2014). Essa distorcao se caracteriza por uma concentracao elevada de municipios com valores de populacao proximos das faixas usadas como criterio de distribuicao de fundos para os municipios do Brasil (Fundo de Participacao de Municipios, FPM). O metodo proposto utiliza dois passos. Primeiro, busca identificar os municipios candidatos a ajuste, atraves de um metodo Jackknife , e segundo, sugere uma correcao para sua populacao de acordo com um modelo linear que segue a Lei de Zipf de distribuicao de populacao de cidades (ZIPF, 1949). Apos a deteccao e correcao da populacao daqueles municipios, apresentamos o teste de McCrary (2007) o qual nao aponta mais descontinuidades significativas na distribuicao da populacao dos municipios para os anos de 2000, 2007 e 2010 sugerindo o sucesso do procedimento. Mais importante, nao e encontrada alteracao significativa na distribuicao do FPM apos esta correcao.
{"title":"Correcting the population of Brazilian municipalities using the Jackknife","authors":"Enlinson Mattos, Pedro Santos","doi":"10.12660/BRE.V38N12018.56157","DOIUrl":"https://doi.org/10.12660/BRE.V38N12018.56157","url":null,"abstract":"Este trabalho propoe um metodo para identificar e corrigir a distorcao observada na distribuicao de populacao dos municipios brasileiros presente nos dados de Censo Demografico (Monasterio, 2014). Essa distorcao se caracteriza por uma concentracao elevada de municipios com valores de populacao proximos das faixas usadas como criterio de distribuicao de fundos para os municipios do Brasil (Fundo de Participacao de Municipios, FPM). O metodo proposto utiliza dois passos. Primeiro, busca identificar os municipios candidatos a ajuste, atraves de um metodo Jackknife , e segundo, sugere uma correcao para sua populacao de acordo com um modelo linear que segue a Lei de Zipf de distribuicao de populacao de cidades (ZIPF, 1949). Apos a deteccao e correcao da populacao daqueles municipios, apresentamos o teste de McCrary (2007) o qual nao aponta mais descontinuidades significativas na distribuicao da populacao dos municipios para os anos de 2000, 2007 e 2010 sugerindo o sucesso do procedimento. Mais importante, nao e encontrada alteracao significativa na distribuicao do FPM apos esta correcao.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131690690","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-05-25DOI: 10.12660/BRE.V38N12018.65890
R. Castilho
The existence of switching costs for consumers may aect prices.While rms have an incentive to increase prices and exploit its currentconsumers, they also might reduce prices to increase the number ofconsumers next period. This paper presents a model of consumer andpricing behavior with switching costs to investigate how prices vary withdierent switching costs levels. I also present a method to estimatemodel's parameters. Results show that prices do not monotonicallyincrease with switching costs. Market shares and prots increase forsmall switching cost values and decrease for larger ones.
{"title":"Can Switching Costs Reduce Prices","authors":"R. Castilho","doi":"10.12660/BRE.V38N12018.65890","DOIUrl":"https://doi.org/10.12660/BRE.V38N12018.65890","url":null,"abstract":"The existence of switching costs for consumers may aect prices.While rms have an incentive to increase prices and exploit its currentconsumers, they also might reduce prices to increase the number ofconsumers next period. This paper presents a model of consumer andpricing behavior with switching costs to investigate how prices vary withdierent switching costs levels. I also present a method to estimatemodel's parameters. Results show that prices do not monotonicallyincrease with switching costs. Market shares and prots increase forsmall switching cost values and decrease for larger ones.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121997152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-05-25DOI: 10.12660/bre.v38n12018.59824
Fernando Antônio de Barros Júnior, Bruno R. Delalibera, Valdemar Pinho Neto
O objetivo deste trabalho e estudar o consumo agregado no Brasil. Realizamos um teste que permite identificar se o processo de consumo apresenta formacao de habitos, nao separabilidade entre consumo e lazer ou se existe um grupo de consumidores com restricao ao credito. Em nosso exercicio empirico encontramos evidencias de que os consumidores sao restritos e rejeitamos as hipoteses de formacao de habitos e nao separabilidade. Desse modo, a renda disponivel e um fator importante na determinacao do consumo agregado. Alem disso, fazemos testes que nos permitem realizar inferencia robusta mesmo na presenca de instrumentos fracos.
{"title":"Predictability of Aggregate Consumption in Brazil: habits, Non-Separability between Consumption and Leisure, or Credit Constraint?","authors":"Fernando Antônio de Barros Júnior, Bruno R. Delalibera, Valdemar Pinho Neto","doi":"10.12660/bre.v38n12018.59824","DOIUrl":"https://doi.org/10.12660/bre.v38n12018.59824","url":null,"abstract":"O objetivo deste trabalho e estudar o consumo agregado no Brasil. Realizamos um teste que permite identificar se o processo de consumo apresenta formacao de habitos, nao separabilidade entre consumo e lazer ou se existe um grupo de consumidores com restricao ao credito. Em nosso exercicio empirico encontramos evidencias de que os consumidores sao restritos e rejeitamos as hipoteses de formacao de habitos e nao separabilidade. Desse modo, a renda disponivel e um fator importante na determinacao do consumo agregado. Alem disso, fazemos testes que nos permitem realizar inferencia robusta mesmo na presenca de instrumentos fracos.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125403768","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-05-25DOI: 10.12660/BRE.V38N12018.43674
E. Lima, Thiago Sevilhano Martinez, V. S. Cerqueira
This paper investigates the effects of monetary and exchange rate shocks on disaggregated prices of the Brazilian Consumer Price Index (IPCA), from 1999 to 2011, using a factor-augmented vector autoregressive model (FAVAR). We estimate the model with Bayesian techniques, and construct impulse-response functions using sign restrictions over the responses of macroeconomic variables. The main results are: a) taking into account the weights, 50% of the rates of price change at the sub-items level fell after a monetary shock and 40% rose after exchange rate's shock; b) only 0.3% of the sub-items showed price puzzle for monetary shocks and 4.7% for exchange rate shocks; c) macroeconomic shocks are more persistent than series-specific shocks; d) for the sub-itens, series-specific shocks are the main determinants of the variance, but macro shocks are more influent over aggregated series e) the answers are different according to the sector considered.
{"title":"Monetary Policy and Exchange Rate: Effects on Disaggregated Prices in a FAVAR Model for Brazil","authors":"E. Lima, Thiago Sevilhano Martinez, V. S. Cerqueira","doi":"10.12660/BRE.V38N12018.43674","DOIUrl":"https://doi.org/10.12660/BRE.V38N12018.43674","url":null,"abstract":"This paper investigates the effects of monetary and exchange rate shocks on disaggregated prices of the Brazilian Consumer Price Index (IPCA), from 1999 to 2011, using a factor-augmented vector autoregressive model (FAVAR). We estimate the model with Bayesian techniques, and construct impulse-response functions using sign restrictions over the responses of macroeconomic variables. The main results are: a) taking into account the weights, 50% of the rates of price change at the sub-items level fell after a monetary shock and 40% rose after exchange rate's shock; b) only 0.3% of the sub-items showed price puzzle for monetary shocks and 4.7% for exchange rate shocks; c) macroeconomic shocks are more persistent than series-specific shocks; d) for the sub-itens, series-specific shocks are the main determinants of the variance, but macro shocks are more influent over aggregated series e) the answers are different according to the sector considered.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130230643","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-11-28DOI: 10.12660/BRE.V37N22017.55248
Bernardo Dutra
Using microdata from the IBRE-FGV Consumer Survey we investigate if Brazilian consumers form expectations consistent with the Taylor rule and if the consistency changes according to the monetary policy conducted by the Central Bank of Brazil. We find that the public can properly understand the relationship between interest rates and inflation in the rule framework, but not the relationship between interest rates and unemployment, probably due to the single mandate adopted in Brazil and some features of the data. The partial effects methodology introduced by Carvalho and Nechio (2014) confirm these results. Furthermore, we also find that the consistency of expectations significantly drops during periods that the central bank deviates from the Taylor rule, indicating that a higher tolerance to inflationary shocks can damage the coordination of society’s expectations.
{"title":"Expectations about Monetary Policy and the Behaviour of the Central Bank","authors":"Bernardo Dutra","doi":"10.12660/BRE.V37N22017.55248","DOIUrl":"https://doi.org/10.12660/BRE.V37N22017.55248","url":null,"abstract":"Using microdata from the IBRE-FGV Consumer Survey we investigate if Brazilian consumers form expectations consistent with the Taylor rule and if the consistency changes according to the monetary policy conducted by the Central Bank of Brazil. We find that the public can properly understand the relationship between interest rates and inflation in the rule framework, but not the relationship between interest rates and unemployment, probably due to the single mandate adopted in Brazil and some features of the data. The partial effects methodology introduced by Carvalho and Nechio (2014) confirm these results. Furthermore, we also find that the consistency of expectations significantly drops during periods that the central bank deviates from the Taylor rule, indicating that a higher tolerance to inflationary shocks can damage the coordination of society’s expectations.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115073147","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-11-28DOI: 10.12660/BRE.V37N22017.61801
R. Vasconcelos
This work investigates the existence of resource misallocation in the Brazilian manufacturing sector and measures possible distortions in it. Using a similar method of measurement to the one developed by Hsieh and Klenow (2009) and firm-level data for 1996-2011 we find evidence of misallocation in the manufacturing sector during the observed period. Moreover, our results show that misallocation has been growing since 2005. We find that the Brazilian manufacturing sector operates at about 50% of its efficient product. We also find that the economic crisis did not have a substantial effect on the total productivity factor or on the sector's misallocation. However, small firms in particular seem to be strongly affected in a global crisis. Furthermore, the effects described would be attenuated if we consider network effects. Despite Brazil's well-known high tax burden, there is not evidence that this is the main source of resource misallocation.
{"title":"Misallocation in the Brazilian Manufacturing Sector","authors":"R. Vasconcelos","doi":"10.12660/BRE.V37N22017.61801","DOIUrl":"https://doi.org/10.12660/BRE.V37N22017.61801","url":null,"abstract":"This work investigates the existence of resource misallocation in the Brazilian manufacturing sector and measures possible distortions in it. Using a similar method of measurement to the one developed by Hsieh and Klenow (2009) and firm-level data for 1996-2011 we find evidence of misallocation in the manufacturing sector during the observed period. Moreover, our results show that misallocation has been growing since 2005. We find that the Brazilian manufacturing sector operates at about 50% of its efficient product. We also find that the economic crisis did not have a substantial effect on the total productivity factor or on the sector's misallocation. However, small firms in particular seem to be strongly affected in a global crisis. Furthermore, the effects described would be attenuated if we consider network effects. Despite Brazil's well-known high tax burden, there is not evidence that this is the main source of resource misallocation.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115275381","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-11-28DOI: 10.12660/BRE.V37N22017.47626
C. Lucinda, Francisco Anuatti
A recente crise de abastecimento em Sao Paulo mostrou a importância da regulacao no setor de saneamento no Estado de Sao Paulo. Neste sentido, o presente artigo busca auxiliar o desenho de regulacao no sentido de verificar a existencia de economias de escala e de escopo no setor de saneamento em Sao Paulo. Para tanto, foi construida uma base de dados a partir de dados internos da SABESP, combinados com dados operacionais extraidos do SNIS. Com esta base de dados foi utilizada a metodologia de Evans e Heckman, para a avaliacao de economias de escala e de escopo. Os resultados nos permitem concluir que a existencia de deseconomias de escala e algo extremamente raro nas cidades atendidas pela SABESP, sendo que quase todas apresentam valores negativos para a estatistica SC -- o que indica que o custo de producao dos servicos de agua e esgoto, nos niveis observados, e mais economicamente oferecido no âmbito de uma empresa do que em duas empresas separadas. No entanto, as evidencias sao mais fracas com relacao as economias de escopo. Mas mesmo assim, na grande maioria das cidades atendidas pela SABESP, e mais barato o fornecimento dos servicos de agua e esgoto conjuntamente dentro de uma empresa do que a separacao em duas empresas focadas em diferentes servicos.Tendo em vista os resultados, podemos concluir que iniciativas que visem a separacao estrutural de operadoras de agua integradas tendem a gerar ineficiencias do lado produtivo, fazendo com que o fornecimento dos servicos seja menos economico.
{"title":"Economies of Scale and Scope in the Sanitation Sector","authors":"C. Lucinda, Francisco Anuatti","doi":"10.12660/BRE.V37N22017.47626","DOIUrl":"https://doi.org/10.12660/BRE.V37N22017.47626","url":null,"abstract":"A recente crise de abastecimento em Sao Paulo mostrou a importância da regulacao no setor de saneamento no Estado de Sao Paulo. Neste sentido, o presente artigo busca auxiliar o desenho de regulacao no sentido de verificar a existencia de economias de escala e de escopo no setor de saneamento em Sao Paulo. Para tanto, foi construida uma base de dados a partir de dados internos da SABESP, combinados com dados operacionais extraidos do SNIS. Com esta base de dados foi utilizada a metodologia de Evans e Heckman, para a avaliacao de economias de escala e de escopo. Os resultados nos permitem concluir que a existencia de deseconomias de escala e algo extremamente raro nas cidades atendidas pela SABESP, sendo que quase todas apresentam valores negativos para a estatistica SC -- o que indica que o custo de producao dos servicos de agua e esgoto, nos niveis observados, e mais economicamente oferecido no âmbito de uma empresa do que em duas empresas separadas. No entanto, as evidencias sao mais fracas com relacao as economias de escopo. Mas mesmo assim, na grande maioria das cidades atendidas pela SABESP, e mais barato o fornecimento dos servicos de agua e esgoto conjuntamente dentro de uma empresa do que a separacao em duas empresas focadas em diferentes servicos.Tendo em vista os resultados, podemos concluir que iniciativas que visem a separacao estrutural de operadoras de agua integradas tendem a gerar ineficiencias do lado produtivo, fazendo com que o fornecimento dos servicos seja menos economico.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124636225","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-11-28DOI: 10.12660/BRE.V37N22017.62293
Lucélia Viviane Vaz, G. B. D. S. Filho
The features of the electrical demand and its response to climate variables impose three main features to the load curves: (1) strong inertia, (2) Each observation is a function and (3) cyclical movements. Based on that, we present a generalization of periodic autoregressive models for functional data with functional covariates. We also estimate a functional autoregressive model, where the periodicity of the parameters is induced by harmonic acceleration operators. Using this method, we handle annual load curves, while the first takes into account the daily load curves. We use splines to represent the smooth functions underlying the points. The estimators of the parameters embody the smoothness restrictions enforced on load curves. We compare the Root Mean Squared Error (RMSE) of our models with the RMSE of a benchmark model. We apply this framework to a dataset from the Southeast/Midwest Brazilian Interconnected Power System, from 2003/01/01 to 2011/01/20.
{"title":"Functional Autoregressive Models: An Application to Brazilian Hourly Electricity Load","authors":"Lucélia Viviane Vaz, G. B. D. S. Filho","doi":"10.12660/BRE.V37N22017.62293","DOIUrl":"https://doi.org/10.12660/BRE.V37N22017.62293","url":null,"abstract":"The features of the electrical demand and its response to climate variables impose three main features to the load curves: (1) strong inertia, (2) Each observation is a function and (3) cyclical movements. Based on that, we present a generalization of periodic autoregressive models for functional data with functional covariates. We also estimate a functional autoregressive model, where the periodicity of the parameters is induced by harmonic acceleration operators. Using this method, we handle annual load curves, while the first takes into account the daily load curves. We use splines to represent the smooth functions underlying the points. The estimators of the parameters embody the smoothness restrictions enforced on load curves. We compare the Root Mean Squared Error (RMSE) of our models with the RMSE of a benchmark model. We apply this framework to a dataset from the Southeast/Midwest Brazilian Interconnected Power System, from 2003/01/01 to 2011/01/20.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123928543","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-05-25DOI: 10.12660/bre.v37n12017.57700
Jonas Takayuki Doi, Marcelo Fernandes, Clemens Nunes
The aim of this study is to investigate the link between the inflation uncertainty and the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil. We gauge the latter by the difference between the breakeven inflation rate and agents’ inflation median expectations in the Focus Survey published by the Central Bank of Brazil. To proxy for inflation uncertainty, we employ the standard deviation of the 12-month inflation expectations in the Focus Survey. We first estimate the impact of inflation uncertainty on the inflation risk premia across different horizons using a VAR approach. We find that shocks in inflation uncertainty significantly affect the 9-, 12-, 24- and 36-month inflation risk premia. The impact is positive, increasing with maturity at least up to 12 months. We then estimate an alternative VAR specification that summarizes the term structure of inflarion risk premia by means of level, slope and curvature factors. It turns out that shocks in inflation uncertainty do not affect the slope and curvature factors, resulting only in parallel shifts in the inflation premium term structure. This is in line with the fact that the higher the inflation uncertainty, the higher is the compensation that investors will require to hold fixed rate bonds.
{"title":"Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil","authors":"Jonas Takayuki Doi, Marcelo Fernandes, Clemens Nunes","doi":"10.12660/bre.v37n12017.57700","DOIUrl":"https://doi.org/10.12660/bre.v37n12017.57700","url":null,"abstract":"The aim of this study is to investigate the link between the inflation uncertainty and the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil. We gauge the latter by the difference between the breakeven inflation rate and agents’ inflation median expectations in the Focus Survey published by the Central Bank of Brazil. To proxy for inflation uncertainty, we employ the standard deviation of the 12-month inflation expectations in the Focus Survey. We first estimate the impact of inflation uncertainty on the inflation risk premia across different horizons using a VAR approach. We find that shocks in inflation uncertainty significantly affect the 9-, 12-, 24- and 36-month inflation risk premia. The impact is positive, increasing with maturity at least up to 12 months. We then estimate an alternative VAR specification that summarizes the term structure of inflarion risk premia by means of level, slope and curvature factors. It turns out that shocks in inflation uncertainty do not affect the slope and curvature factors, resulting only in parallel shifts in the inflation premium term structure. This is in line with the fact that the higher the inflation uncertainty, the higher is the compensation that investors will require to hold fixed rate bonds.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126860708","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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