Estimación de la compensación por inflación en la curva de rendimientos de bonos argentinos

The measurement of inflation expectations is highly relevant for an inflationary economy like Argentina's. This paper estimates the implicit inflation compensation in the yields of Argentine bonds during the inflation targeting period, using the difference between the yields of inflation-adjusted and non-inflation-adjusted Argentine bonds. Under certain conditions, this compensation is an observable measure of inflation expectations with daily frequency. There is high volatility in the compensation in the first half of 2017 and 2018. The compensation systematically registers values higher than the inflation expectations obtained by the BCRA through the market expectations survey (REM). This could suggest the impact of a premium for risk and liquidity, or indicate a possible underestimation of expectations by the REM. At the same time, the estimated compensation is a better predictor of actual inflation than the inflation expected in the REM. Reception date: 29/03/2024Acceptance date: 09/09/2024