Inflação implícita e o Cupom Futuro de IPCA (DAP): análise do período 2017-2023

Abstract

Inflation estimates are essential for the development of investment strategies and financial decisions. This study proposes an alternative approach by using the IPCA Future Coupon contract (DAP) to measure the implied inflation rate, as opposed to traditional methodologies that derive from analyses of the Focus Bulletin data and 12-month inflation expectations. Analyzing the period from 2017 to 2023, during which liquidity in the IPCA Future Coupon contracts (DAP) was intensified, the study demonstrates that this methodology shows significantly better performance, evidenced by the lower Root Mean Squared Error (RMSE) in the estimations. The results indicate that DAP contracts are a viable tool for measuring the implied inflation rate, providing significantly better outcomes.