This paper elaborates a daily indicator of inflation expectations for Argentina, in the period 2017-2018, using information from the fixed income market. Based on the quotations of public securities in pesos with and without CER adjustment, we start by applying the boots trapping method, which allows us to expand the number of spot rates to a greater number of terms. We then adjusted the Nelson-Siegel-Svensson model to complete the time frame of rates. As a result, a daily curve is obtained for each type of instrument. Finally, under specific assumptions regarding risk adjustment, we use the spread between the curves of unadjusted and CER-adjusted peso securities to derive inflation expectations indicators for different time horizons.
