Submitted by Daniel Mathias Alves Pinto (poli372@hotmail.com) on 2013-03-05T17:36:43Z No. of bitstreams: 1 O Impacto de Choques Inflacionários na Estrutura a Termo de Taxa de Juros.pdf: 651101 bytes, checksum: f6ae0ed7d48bd6b43b1f705d4d2d50cb (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-03-05T19:28:24Z (GMT) No. of bitstreams: 1 O Impacto de Choques Inflacionários na Estrutura a Termo de Taxa de Juros.pdf: 651101 bytes, checksum: f6ae0ed7d48bd6b43b1f705d4d2d50cb (MD5) / Made available in DSpace on 2013-03-06T12:39:08Z (GMT). No. of bitstreams: 1 O Impacto de Choques Inflacionários na Estrutura a Termo de Taxa de Juros.pdf: 651101 bytes, checksum: f6ae0ed7d48bd6b43b1f705d4d2d50cb (MD5) Previous issue date: 2013-02-05 / This paper analyzes the impact of inflation surprises in the variations of the agents' expectations regarding interest rate, as measured by the Term Structure of Interest Rate at BM&F. The inflationary surprises are variations in actual inflation around the inflation expected, synthesized by FOCUS report of the Central Bank. The empirical approach used was the method of OLS with errors robust to heteroscedasticity, identified from exogenous variation arising from the disclosure of the monthly IPCA inflation index. For the period from January 2003 to October 2012, the results are in line with what is expected and show that agents change their expectations of monetary policy when they are surprised. / O presente trabalho analisa o impacto de surpresas inflacionárias, definidas como a diferença entre inflação esperada e inflação efetiva, sobre as variações na expectativa dos agentes em relação à política monetária, medida através da Estrutura a Termo de Taxa de Juros retirada dos contratos de juros futuros da BM&F. A abordagem empírica utilizada foi a do método dos Mínimos Quadrados Ordinários com erros robustos à heterocedasticidade, identificado a partir das variações exógenas decorrentes da divulgação mensal do índice IPCA de inflação. Para o período de janeiro de 2003 a outubro de 2012, os resultados estão em linha com que o que é esperado e mostram que os agentes alteram suas expectativas de política monetária quando são surpreendidos.

This thesis examines the measurement, applications and properties of consumer inflation expectations in the context of eight European Union countries: France, Germany, the UK, Spain, Italy, Belgium, the Netherlands and Sweden. The data proceed mainly from the European Commission's Consumer Survey and are qualitative in nature, therefore requiring quantification prior to use. This study first seeks to determine the optimal quantification methodology among a set of approaches spanning three traditions, associated with Carlson-Parkin (1975), Pesaran (1984) and Seitz (1988). The success of a quantification methodology is assessed on the basis of its ability to match quantitative expectations data and on its behaviour in an important economic application, namely the modelling of wages for our sample countries. The wage equation developed here draws on the theoretical background of the staggered contracts and the wage bargaining literature, and controls carefully for inflation expectations and institutional variables. The Carlson-Parkin variation proposed in Curto Millet (2004) was found to be the most satisfactory. This being established, the wage equations are used to test the hypothesis that the advent of EMU generated an increase in labour market flexibility, which would be reflected in structural breaks. The hypothesis is essentially rejected. Finally, the properties of inflation expectations and perceptions themselves are examined, especially in the context of EMU. Both the rational expectations and rational perceptions hypotheses are rejected. Popular expectations mechanisms, such as the "rule-of-thumb" model or Akerlof et al.'s (2000) "near-rationality hypothesis" are similarly unsupported. On the other hand, evidence is found for the transmission of expert forecasts to consumer expectations in the case of the UK, as in Carroll's (2003) model. The distribution of consumer expectations and perceptions is also considered, showing a tendency for gradual (as in Mankiw and Reis, 2002) but non-rational adjustment. Expectations formation is further shown to have important qualitative features.