A formação de expectativas inflacionárias no Brasil: um estudo do efeito Fisher em um mecanismo de extração de sinal

Abstract

This paper derives a signal extraction framework for examining all testable implications of the Fisher equation The signal is the net of taxes nominal interest rate, which, under the Fisher model equals inflation expectation plus the real rate (assumed to be constant or a constant plus a martingale difference). All alternative linear models can be represented as noise added to the signal. The international and Brazilian literature are briefly reviewed and the empirical tests reinterpreted in the signal extraction framework The model is teste with Brazilian data for the period 1973190 using interest rate data on non-indexed certificates of deposit from a sample of major Brazilian banks. The framework detects little noise, i.e., the Fisher equation seems to reasonably fit the Brazilian evidence. This result carries the policy implication that the government cannot have the burden of financing its fiscal deficits ameliorated by issuing non-indexed debt in periods when inflation is escalating. Given the large fluctuations observed in ex post real rates in Brazil the reasonable success of the Fisher equation also implies the existence of large inflation forecast errors, which suggest the need for further research on how agents form inflation expectations. When inflation escalates rapidly, as it did in the late '80s in Brazil price indices lag behing true inflation This generates a Fisher effect even for indexed securities. A test for this effect has been also included in the paper.