Prêmio de Risco Inflacionário: impacto de incerteza doméstica e externa e a credibilidade da política monetária

Abstract

This study analyzed how the inflation risk premium of different maturities is affected by shocks in global financial uncertainty and shocks of domestic macroeconomic uncertainty. It also assessed the relevance of the credibility of monetary policy in determining inflationary premiums. The methodology used was structural autoregressive vectors (SVAR). The results show that external uncertainty shocks, although recessive, generate initial increases in risk premiums, perhaps reflecting the contagion of currency movements. From a certain point they tend to fall, prevailing deflationary uncertainties caused by a recessive environment. Shocks of domestic uncertainty produce an increase in inflationary premiums in all analyzed maturities. Positive shocks to the real fixed rate instantaneously and intensely reduce inflation, as well as inflationary premiums. This last result suggests credible monetary policy gains in determination the inflation risk premium.