Val, Flávio de Freitas; Barbedo, Claudio Henrique da … - Central Bank of Brazil, Research Department - 2010
The trade volume of inflation indexed bonds has grown substantially in the treasury debt market. These bonds have been …, for extracting inflation expectations by policymakers. This paper adds to the literature in twofold. First, we apply … methodologies to obtain inflation expectations. Thus, we modified the method used in Durham (2007) to estimate the inflation risk …