Our objective in this paper is to build expectations anchoring indexes for inflation in Brazil that are fundamentally driven by the monetary authority’s capacity to anchor long-term inflation expectations vis-a-vis short-run inflation expectations. The expectations anchoring indexes are generated from a Kalman filter, based on a state-space model that also takes into account fiscal policy dynamics. The model’s signals are constructed using inflation expectations from the Focus survey of professional forecasters, conducted by the Central Bank of Brazil, and from the swap and federal government bond markets, which convey daily information of long-term inflation expectations. Although varying across specifications, the expectations anchoring indexes that we propose tend to display a downward trajectory, more clearly in 2009, and show a recovery starting in 2016 until the end of the sample (mid-2017).

中文翻译：

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使用卡尔曼滤波器的巴西期望锚定指数：长期探索通货膨胀锚定的信号

本文的目的是建立巴西通货膨胀的预期锚定指标，该指标基本上是由货币当局将长期通胀预期相对于短期通货膨胀预期锚定的能力所驱动。期望锚定指标是根据状态空间模型从卡尔曼滤波器生成的，该状态空间模型还考虑了财政政策动态。该模型的信号是根据巴西中央银行进行的对专业预测员的焦点调查以及掉期和联邦政府债券市场的通货膨胀预期构建的，后者每天都会传达长期通货膨胀预期的信息。尽管各规范之间存在差异，但我们提出的预期锚定指标趋向于呈下降趋势，在2009年更为明显，