Testing for asymmetric adjustment in weekly Brazilian inflation

Detalhes bibliográficos
Autor(a) principal: Marques, André M.
Data de Publicação: 2021
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Nova Economia (Online)
Texto Completo: https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/5269
Resumo: Abstract This study analyses the nature of weekly inflation response to shocks in the Brazilian economy by adopting a generalized quantile autoregression model in which the autoregressive parameter is allowed to be quantile-dependent. We test for unit root at different conditional quantiles of the response variable, by characterizing its asymmetric dynamics along the business cycle. The method allows us to estimate the magnitude, sign, and the significance of actual shocks that affect Brazilian inflation. We evaluate the robustness of results by adopting a bootstrap procedure. Concerning previous studies, we find evidence of stronger asymmetric persistence in inflationary dynamics in which an inflationary shock below the average dissipates very fast when compared to an inflationary impulse occurring above the average. Location, size, and the sign of a random shock might be essential for inflation adjustment towards long-run equilibrium. The results do not support the full inertia hypothesis. Keywords: Inflation; Local persistence; Asymmetric dynamics; Quantile Regression; Bootstrap. JEL Codes: C14; C22; C13.
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spelling Testing for asymmetric adjustment in weekly Brazilian inflationTeste para ajuste assimétrico na inflação semanal brasileiraAbstract This study analyses the nature of weekly inflation response to shocks in the Brazilian economy by adopting a generalized quantile autoregression model in which the autoregressive parameter is allowed to be quantile-dependent. We test for unit root at different conditional quantiles of the response variable, by characterizing its asymmetric dynamics along the business cycle. The method allows us to estimate the magnitude, sign, and the significance of actual shocks that affect Brazilian inflation. We evaluate the robustness of results by adopting a bootstrap procedure. Concerning previous studies, we find evidence of stronger asymmetric persistence in inflationary dynamics in which an inflationary shock below the average dissipates very fast when compared to an inflationary impulse occurring above the average. Location, size, and the sign of a random shock might be essential for inflation adjustment towards long-run equilibrium. The results do not support the full inertia hypothesis. Keywords: Inflation; Local persistence; Asymmetric dynamics; Quantile Regression; Bootstrap. JEL Codes: C14; C22; C13.Resumo Este estudo analisa a natureza da resposta da inflação semanal a choques na economia brasileira, adotando um modelo autorregressivo generalizado de quantis, no qual o parâmetro autorregressivo pode ser quantil-dependente. Testamos para raiz unitária em diferentes quantis condicionais da variável resposta, caracterizando sua dinâmica assimétrica ao longo do ciclo de negócios. O método nos permitiu estimar a magnitude, o sinal e a significância dos choques que afetam a inflação brasileira. Avaliamos a robustez dos resultados adotando um procedimento de bootstrap. Em relação a estudos anteriores, encontramos evidências de uma persistência assimétrica mais forte na dinâmica inflacionária em que um choque inflacionário abaixo da média se dissipa muito rapidamente quando comparado a um impulso inflacionário ocorrendo acima da média. A localização, o tamanho e o sinal de um choque aleatório podem ser essenciais para o ajuste da inflação em direção ao equilíbrio de longo prazo. Os resultados não suportam a hipótese de inércia total. Palavras-chave: inflação; persistência local; dinâmica assimétrica; regressão quantílica; bootstrap. Códigos JEL: C14; C22; C13.Departamento de Ciências Econômicas da UFMG2021-07-19info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/5269Nova Economia; Vol. 31 No. 1 (2021): Revista Nova Economia; 67-85Nova Economia; v. 31 n. 1 (2021): Revista Nova Economia; 67-851980-53810103-6351reponame:Nova Economia (Online)instname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGenghttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/5269/3371Copyright (c) 2021 André M. Marqueshttp://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessMarques, André M.2022-02-22T18:56:54Zoai:ojs.pkp.sfu.ca:article/5269Revistahttps://revistas.face.ufmg.br/index.php/novaeconomiaPUBhttps://revistas.face.ufmg.br/index.php/novaeconomia/oai||ne@face.ufmg.br1980-53810103-6351opendoar:2022-02-22T18:56:54Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG)false
dc.title.none.fl_str_mv Testing for asymmetric adjustment in weekly Brazilian inflation
Teste para ajuste assimétrico na inflação semanal brasileira
title Testing for asymmetric adjustment in weekly Brazilian inflation
spellingShingle Testing for asymmetric adjustment in weekly Brazilian inflation
Marques, André M.
title_short Testing for asymmetric adjustment in weekly Brazilian inflation
title_full Testing for asymmetric adjustment in weekly Brazilian inflation
title_fullStr Testing for asymmetric adjustment in weekly Brazilian inflation
title_full_unstemmed Testing for asymmetric adjustment in weekly Brazilian inflation
title_sort Testing for asymmetric adjustment in weekly Brazilian inflation
author Marques, André M.
author_facet Marques, André M.
author_role author
dc.contributor.author.fl_str_mv Marques, André M.
description Abstract This study analyses the nature of weekly inflation response to shocks in the Brazilian economy by adopting a generalized quantile autoregression model in which the autoregressive parameter is allowed to be quantile-dependent. We test for unit root at different conditional quantiles of the response variable, by characterizing its asymmetric dynamics along the business cycle. The method allows us to estimate the magnitude, sign, and the significance of actual shocks that affect Brazilian inflation. We evaluate the robustness of results by adopting a bootstrap procedure. Concerning previous studies, we find evidence of stronger asymmetric persistence in inflationary dynamics in which an inflationary shock below the average dissipates very fast when compared to an inflationary impulse occurring above the average. Location, size, and the sign of a random shock might be essential for inflation adjustment towards long-run equilibrium. The results do not support the full inertia hypothesis. Keywords: Inflation; Local persistence; Asymmetric dynamics; Quantile Regression; Bootstrap. JEL Codes: C14; C22; C13.
publishDate 2021
dc.date.none.fl_str_mv 2021-07-19
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/5269
url https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/5269
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/5269/3371
dc.rights.driver.fl_str_mv Copyright (c) 2021 André M. Marques
http://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2021 André M. Marques
http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Departamento de Ciências Econômicas da UFMG
publisher.none.fl_str_mv Departamento de Ciências Econômicas da UFMG
dc.source.none.fl_str_mv Nova Economia; Vol. 31 No. 1 (2021): Revista Nova Economia; 67-85
Nova Economia; v. 31 n. 1 (2021): Revista Nova Economia; 67-85
1980-5381
0103-6351
reponame:Nova Economia (Online)
instname:Universidade Federal de Minas Gerais (UFMG)
instacron:UFMG
instname_str Universidade Federal de Minas Gerais (UFMG)
instacron_str UFMG
institution UFMG
reponame_str Nova Economia (Online)
collection Nova Economia (Online)
repository.name.fl_str_mv Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG)
repository.mail.fl_str_mv ||ne@face.ufmg.br
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