2016
DOI: 10.1080/1540496x.2016.1193730
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Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market

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Cited by 6 publications
(4 citation statements)
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“…The evidence does not allow us to conclude that there is a relevant impact of expected inflation on the Ibovespa analysts' EPS forecast. Mariani and Laurini (2017) shows that inflation expectations obtained from the breakeven inflation rate (the difference between nominal and real yields) tend to be more accurate than inflation expecta-13 Sharpe (2002) study further the relation between stock returns and inflation by analyzing the long-run relation between stock returns, real bond yields and dividends, following the decomposition of Campbell and Shiller (1988a,b). Sharpe finds that the negative relation between expected inflation and equity returns can be explained by a negative correlation between expected inflation and expected real earnings growth and a positive correlation between inflation and higher equity real returns.…”
Section: Resultsmentioning
confidence: 99%
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“…The evidence does not allow us to conclude that there is a relevant impact of expected inflation on the Ibovespa analysts' EPS forecast. Mariani and Laurini (2017) shows that inflation expectations obtained from the breakeven inflation rate (the difference between nominal and real yields) tend to be more accurate than inflation expecta-13 Sharpe (2002) study further the relation between stock returns and inflation by analyzing the long-run relation between stock returns, real bond yields and dividends, following the decomposition of Campbell and Shiller (1988a,b). Sharpe finds that the negative relation between expected inflation and equity returns can be explained by a negative correlation between expected inflation and expected real earnings growth and a positive correlation between inflation and higher equity real returns.…”
Section: Resultsmentioning
confidence: 99%
“…Here, we observe the breakeven inflation rate and assign changes in the breakeven rate to changes in inflation expectations. See Mariani and Laurini (2017) for the decomposition of the breakeven inflation into implicit inflation and risk premium and additional discussion. See also Mariani and Laurini for a description of the fixed income market in Brazil and for the relevance of the NTN-B bonds to obtain inflation expectations for the IPCA.…”
Section: Rev Bras Finanças (Online) Rio Dementioning
confidence: 99%
“…Secondly, difficulties in negotiating government securities in the secondary market may lead to agents demanding a liquidity premium. Notwithstanding, several studies suggest inflation risk premium tends to be small or even negative (Ang, Bekaert, & Wei, 2008;Buraschi & Jiltsov, 2005;Christensen, Lopez, & Rudebusch, 2010;Hördahl & Tristani, 2012;Mariani & Laurini, 2017). It is a fact that risk premiums may contain relevant information, and central banks aiming at stabilizing inflation expectations should also be concerned with minimizing uncertainty about inflation (Strohsal & Winkelmann, 2015).…”
Section: Extracting Survey-based and Market-based Inflation Expectationsmentioning
confidence: 99%
“…If an agent does not revise his or her expectations in the last thirty days, this information is not considered in statistic calculations. An important incentive of this system is the monthly release of best performing institutions, indicated in the top five predictors for each macroeconomic variable monitored in the system (see Mariani and Laurini [18] for a thorough description of the Focus survey). We now verify whether processes describing forward rates, Focus forecasts, and the spot exchange rate are consistent with a martingale process-as expected by the first theorem of asset pricing.…”
Section: Empirical Evidencementioning
confidence: 99%