摘要：Implicit inflation or break-even inflation rate (BEIR) is the difference between nominal and real interest rates. In the Brazilian market, we can obtain it from indexed government bonds. However, when dealing with short-term BEIR, this task presents two difficulties: a) inflation-indexed bonds have indexation lags; b) inflation seasonality implies real interest rate seasonality. The aim of this paper is to propose a methodology to estimate the short-term BEIR that addresses these two issues. Assuming a negligible inflation risk premium in the short run, we evaluate the predictive ability of the BEIR by confronting it with expectations based on the market analysts’ forecasts published on the Focus Survey. The results show that the BEIR is competitive when compared to the Focus Survey. An advantage of the BEIR is that it allows monitoring of expectations better than surveys, since it is continuously updated.
关键词：Inflação Implícita; Previsão de Inflação IPCA; DAP; NTN-B
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