Measuring inflation persistence in Brazil using a multivariate model

Detalhes bibliográficos
Autor(a) principal: Machado,Vicente da Gama
Data de Publicação: 2014
Outros Autores: Portugal,Marcelo Savino
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=S0034-71402014000200004
Resumo: We estimate inflation persistence in Brazil in a multivariate framework of unobserved components, accounting for the following sources affecting inflation persistence: Deviations of expectations from the actual policy target; persistence of the factors driving inflation; and the usual intrinsic measure of persistence, evaluated through lagged inflation terms. Data on inflation, output and interest rates are decomposed into unobserved components. To simplify the estimation of a great number of unknown variables, we employ Bayesian analysis. Our results indicate that expectations-based persistence matters considerably for inflation persistence in Brazil.
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spelling Measuring inflation persistence in Brazil using a multivariate modelInflation PersistenceInflation ExpectationsKalman FilterBayesian AnalysisWe estimate inflation persistence in Brazil in a multivariate framework of unobserved components, accounting for the following sources affecting inflation persistence: Deviations of expectations from the actual policy target; persistence of the factors driving inflation; and the usual intrinsic measure of persistence, evaluated through lagged inflation terms. Data on inflation, output and interest rates are decomposed into unobserved components. To simplify the estimation of a great number of unknown variables, we employ Bayesian analysis. Our results indicate that expectations-based persistence matters considerably for inflation persistence in Brazil.Fundação Getúlio Vargas2014-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000200004Revista Brasileira de Economia v.68 n.2 2014reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402014000200004info:eu-repo/semantics/openAccessMachado,Vicente da GamaPortugal,Marcelo Savinoeng2014-07-15T00:00:00Zoai:scielo:S0034-71402014000200004Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2014-07-15T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv Measuring inflation persistence in Brazil using a multivariate model
title Measuring inflation persistence in Brazil using a multivariate model
spellingShingle Measuring inflation persistence in Brazil using a multivariate model
Machado,Vicente da Gama
Inflation Persistence
Inflation Expectations
Kalman Filter
Bayesian Analysis
title_short Measuring inflation persistence in Brazil using a multivariate model
title_full Measuring inflation persistence in Brazil using a multivariate model
title_fullStr Measuring inflation persistence in Brazil using a multivariate model
title_full_unstemmed Measuring inflation persistence in Brazil using a multivariate model
title_sort Measuring inflation persistence in Brazil using a multivariate model
author Machado,Vicente da Gama
author_facet Machado,Vicente da Gama
Portugal,Marcelo Savino
author_role author
author2 Portugal,Marcelo Savino
author2_role author
dc.contributor.author.fl_str_mv Machado,Vicente da Gama
Portugal,Marcelo Savino
dc.subject.por.fl_str_mv Inflation Persistence
Inflation Expectations
Kalman Filter
Bayesian Analysis
topic Inflation Persistence
Inflation Expectations
Kalman Filter
Bayesian Analysis
description We estimate inflation persistence in Brazil in a multivariate framework of unobserved components, accounting for the following sources affecting inflation persistence: Deviations of expectations from the actual policy target; persistence of the factors driving inflation; and the usual intrinsic measure of persistence, evaluated through lagged inflation terms. Data on inflation, output and interest rates are decomposed into unobserved components. To simplify the estimation of a great number of unknown variables, we employ Bayesian analysis. Our results indicate that expectations-based persistence matters considerably for inflation persistence in Brazil.
publishDate 2014
dc.date.none.fl_str_mv 2014-06-01
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=S0034-71402014000200004
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000200004
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0034-71402014000200004
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.68 n.2 2014
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
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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
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