The NAIRU, unemployment and the rate of inflation in Brazil

Detalhes bibliográficos
Autor(a) principal: Lima,Elcyon Caiado Rocha
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402003000400011
Resumo: This paper estimates the Brazilian NAIRU (Nonaccelerating Inflation Rate of Unemployment) and investigates several empirical questions: the stability of coefficients of the Brazilian price Phillips curve, the behavior of the NAIRU along time, and error bands for the NAIRU. This article innovates, with respect to previous research work done for Brazil, because it estimates error bands for the NAIRU and adopts econometric models that, in our judgment, deal more adequately with the still recent instability of the Brazilian economy. We estimate two different state-space models: one with a time-varying NAIRU and another in which the NAIRU is changing over time according to a hidden Markov chain specification. The study presents some new evidence on several questions. It shows that while the slope of the Brazilian price Phillips curve is stable the NAIRU has not been stable. It concludes that there is a statistically significant relationship, with correct sign, between deviations of unemployment from the NAIRU and inflation. It also shows that, after the second semester of 1995, there is no significant evidence that the NAIRU has been different from the observed unemployment rate.
id FGV-8_8db28bf630cf3d86e531c23d6edd8389
oai_identifier_str oai:scielo:S0034-71402003000400011
network_acronym_str FGV-8
network_name_str Revista Brasileira de Economia (Online)
repository_id_str
spelling The NAIRU, unemployment and the rate of inflation in Braziltime-varying NAIRUMarkov switchingPhillips curveKim filterunobserved-components modelThis paper estimates the Brazilian NAIRU (Nonaccelerating Inflation Rate of Unemployment) and investigates several empirical questions: the stability of coefficients of the Brazilian price Phillips curve, the behavior of the NAIRU along time, and error bands for the NAIRU. This article innovates, with respect to previous research work done for Brazil, because it estimates error bands for the NAIRU and adopts econometric models that, in our judgment, deal more adequately with the still recent instability of the Brazilian economy. We estimate two different state-space models: one with a time-varying NAIRU and another in which the NAIRU is changing over time according to a hidden Markov chain specification. The study presents some new evidence on several questions. It shows that while the slope of the Brazilian price Phillips curve is stable the NAIRU has not been stable. It concludes that there is a statistically significant relationship, with correct sign, between deviations of unemployment from the NAIRU and inflation. It also shows that, after the second semester of 1995, there is no significant evidence that the NAIRU has been different from the observed unemployment rate.Fundação Getúlio Vargas2003-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402003000400011Revista Brasileira de Economia v.57 n.4 2003reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402003000400011info:eu-repo/semantics/openAccessLima,Elcyon Caiado Rochaeng2004-06-14T00:00:00Zoai:scielo:S0034-71402003000400011Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2004-06-14T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv The NAIRU, unemployment and the rate of inflation in Brazil
title The NAIRU, unemployment and the rate of inflation in Brazil
spellingShingle The NAIRU, unemployment and the rate of inflation in Brazil
Lima,Elcyon Caiado Rocha
time-varying NAIRU
Markov switching
Phillips curve
Kim filter
unobserved-components model
title_short The NAIRU, unemployment and the rate of inflation in Brazil
title_full The NAIRU, unemployment and the rate of inflation in Brazil
title_fullStr The NAIRU, unemployment and the rate of inflation in Brazil
title_full_unstemmed The NAIRU, unemployment and the rate of inflation in Brazil
title_sort The NAIRU, unemployment and the rate of inflation in Brazil
author Lima,Elcyon Caiado Rocha
author_facet Lima,Elcyon Caiado Rocha
author_role author
dc.contributor.author.fl_str_mv Lima,Elcyon Caiado Rocha
dc.subject.por.fl_str_mv time-varying NAIRU
Markov switching
Phillips curve
Kim filter
unobserved-components model
topic time-varying NAIRU
Markov switching
Phillips curve
Kim filter
unobserved-components model
description This paper estimates the Brazilian NAIRU (Nonaccelerating Inflation Rate of Unemployment) and investigates several empirical questions: the stability of coefficients of the Brazilian price Phillips curve, the behavior of the NAIRU along time, and error bands for the NAIRU. This article innovates, with respect to previous research work done for Brazil, because it estimates error bands for the NAIRU and adopts econometric models that, in our judgment, deal more adequately with the still recent instability of the Brazilian economy. We estimate two different state-space models: one with a time-varying NAIRU and another in which the NAIRU is changing over time according to a hidden Markov chain specification. The study presents some new evidence on several questions. It shows that while the slope of the Brazilian price Phillips curve is stable the NAIRU has not been stable. It concludes that there is a statistically significant relationship, with correct sign, between deviations of unemployment from the NAIRU and inflation. It also shows that, after the second semester of 1995, there is no significant evidence that the NAIRU has been different from the observed unemployment rate.
publishDate 2003
dc.date.none.fl_str_mv 2003-12-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402003000400011
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402003000400011
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0034-71402003000400011
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Getúlio Vargas
publisher.none.fl_str_mv Fundação Getúlio Vargas
dc.source.none.fl_str_mv Revista Brasileira de Economia v.57 n.4 2003
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
_version_ 1754115904737640448

Registros relacionados