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Данила Овечкин

11 апр 2023 11.04.2023

Растут инфляционные ожидания участников рынка⁠⁠

Посчитал вмененную инфляцию (breakeven inflation rate) - разность между взвешенной суммой доходностей (yield) индексов RUGBITR10Y, RUGBITR5Y и доходностью индекса ОФЗ-ИН (RUGBINFTR).

Веса подбирались так, чтобы уравнять дюрацию RUGBINFTR с дюацией взвешенной суммы RUGBITR10Y и RUGBITR5Y.

Ожидаемая держателями ОФЗ инфляция увеличивается с сентября прошлого года. В октябре 2022 года стали положительными усредненные месячные темпы роста сезонно сглаженной инфляции.

Сейчас ожидания и фактическая инфляция растут параллельно друг другу. Однако если ожидания находятся на повышенном уровне (7,13%), то фактическая инфляция сейчас весьма умеренна (0,33% 3mma sa или 3,84% в аннуализированном выражении - ниже таргета).

Рынок ОФЗ ставит на то, что инфляция перестанет быть умеренной. Будем следить за статистикой.

Спасибо за чтение и удачи в инвестициях.

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