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 ...

The aim of this study is to investigate the link between the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil and disagreements in inflation forecasts. We gauge the former ...

The large dimension of variables as regressors requires a reduction in the number of variables, which we do in this paper through the factorial model. This method is useful if the variables are collinear, as is our case. ...

During the second half of the 2000s, the world experienced a rapid and substantial rise in commodity prices. This shock posed complex challenges for monetary policy, in particular because of the significant increase in ...

This paper investigates what are the main components of consumer’s inflation expectations. We combine the FGV’s Consumer Survey with the Brazilian Institute of Geography and Statistics (IBGE) indices on inflation (IPCA and ...

In this paper we build forecasts for Chilean year-on-year inflation using both multivariate and univariate time series models augmented with different measures of international inflation. We consider two versions of ...

Since 2006, the Getulio Vargas Foundation (FGV) calculates a daily version of the Broad Consumer Price Index (IPCA), the official inflation index, calculated under the responsibility of the IBGE, the federal statistics ...