An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil

Detalhes bibliográficos
Autor(a) principal: da Silva, Cleomar Gomes
Data de Publicação: 2011
Outros Autores: Leme, Maria Carolina da Silva
Tipo de documento: Artigo
Idioma: por
eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: https://periodicos.fgv.br/rbe/article/view/3373
Resumo: This paper makes use of Auto-Regressive Fractionally Integrated (ARFIMA) models, as well as unit root tests with structural breaks, to examine the IPCA (the official inflation rate), inflation expectations, and the real interest rate in Brazil. For the period ranging from July 1999 to December 2010 the results show that the Brazilian inflation can be taken as stationary and mean-reverting, with some degree of persistence. As for inflation expectations, the non-stationarity detected in the fractional integration model is due to structural breaks, meaning that they can also be taken as stationary with mean-reversion. Finally, the Selic interest rate shows some sign of non-stationarity, which had already been found in the unit root tests. However, it cannot be characterized by a unit root of a pure form, but as a fractionally integrated process with some long memory.
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spelling An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in BrazilAn Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in BrazilInflation PersistenceMonetary PolicyTime Series Analysis.Inflation PersistenceMonetary PolicyTime Series AnalysisThis paper makes use of Auto-Regressive Fractionally Integrated (ARFIMA) models, as well as unit root tests with structural breaks, to examine the IPCA (the official inflation rate), inflation expectations, and the real interest rate in Brazil. For the period ranging from July 1999 to December 2010 the results show that the Brazilian inflation can be taken as stationary and mean-reverting, with some degree of persistence. As for inflation expectations, the non-stationarity detected in the fractional integration model is due to structural breaks, meaning that they can also be taken as stationary with mean-reversion. Finally, the Selic interest rate shows some sign of non-stationarity, which had already been found in the unit root tests. However, it cannot be characterized by a unit root of a pure form, but as a fractionally integrated process with some long memory.Este artigo analisa a questão dos graus de persistência do IPCA, da taxa real de juros e das expectativas de inflação no Brasil por intermédio dos Modelos Auto-Regressivos de Integração Fracionada e modelos de raiz unitária com quebra estrutural. O estudo compreende o período de Julho de 1999 a Dezembro de 2010 e seus resultados apontam para uma taxa de inflação brasileira estacionária, com reversão à média e com algum grau de persistência. As expectativas de inflação mostraram características iniciais de não-estacionariedade, sendo isto devido ao problema de quebras estruturais na série. Quando tal problema é resolvido, a série pode ser considerada estacionária e com reversão à média. Finalmente, a taxa real de juros Selic possui claros sinais de não-estacionariedade, já detectados nos testes de raiz unitária. Contudo, os modelos ARFIMA indicam que a série não segue um processo puro de raiz unitária, mas sim um processo fracionalmente integrado e com memória longa.EGV EPGE2011-09-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/3373Revista Brasileira de Economia; Vol. 65 No. 3 (2011); 289-302Revista Brasileira de Economia; v. 65 n. 3 (2011); 289-3021806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporenghttps://periodicos.fgv.br/rbe/article/view/3373/2260https://periodicos.fgv.br/rbe/article/view/3373/2263da Silva, Cleomar GomesLeme, Maria Carolina da Silvainfo:eu-repo/semantics/openAccess2011-09-27T15:29:17Zoai:ojs.periodicos.fgv.br:article/3373Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:29.502299Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true
dc.title.none.fl_str_mv An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil
An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil
title An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil
spellingShingle An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil
da Silva, Cleomar Gomes
Inflation Persistence
Monetary Policy
Time Series Analysis.
Inflation Persistence
Monetary Policy
Time Series Analysis
title_short An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil
title_full An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil
title_fullStr An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil
title_full_unstemmed An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil
title_sort An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil
author da Silva, Cleomar Gomes
author_facet da Silva, Cleomar Gomes
Leme, Maria Carolina da Silva
author_role author
author2 Leme, Maria Carolina da Silva
author2_role author
dc.contributor.author.fl_str_mv da Silva, Cleomar Gomes
Leme, Maria Carolina da Silva
dc.subject.por.fl_str_mv Inflation Persistence
Monetary Policy
Time Series Analysis.
Inflation Persistence
Monetary Policy
Time Series Analysis
topic Inflation Persistence
Monetary Policy
Time Series Analysis.
Inflation Persistence
Monetary Policy
Time Series Analysis
description This paper makes use of Auto-Regressive Fractionally Integrated (ARFIMA) models, as well as unit root tests with structural breaks, to examine the IPCA (the official inflation rate), inflation expectations, and the real interest rate in Brazil. For the period ranging from July 1999 to December 2010 the results show that the Brazilian inflation can be taken as stationary and mean-reverting, with some degree of persistence. As for inflation expectations, the non-stationarity detected in the fractional integration model is due to structural breaks, meaning that they can also be taken as stationary with mean-reversion. Finally, the Selic interest rate shows some sign of non-stationarity, which had already been found in the unit root tests. However, it cannot be characterized by a unit root of a pure form, but as a fractionally integrated process with some long memory.
publishDate 2011
dc.date.none.fl_str_mv 2011-09-27
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articles
Artigos
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.fgv.br/rbe/article/view/3373
url https://periodicos.fgv.br/rbe/article/view/3373
dc.language.iso.fl_str_mv por
eng
language por
eng
dc.relation.none.fl_str_mv https://periodicos.fgv.br/rbe/article/view/3373/2260
https://periodicos.fgv.br/rbe/article/view/3373/2263
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv EGV EPGE
publisher.none.fl_str_mv EGV EPGE
dc.source.none.fl_str_mv Revista Brasileira de Economia; Vol. 65 No. 3 (2011); 289-302
Revista Brasileira de Economia; v. 65 n. 3 (2011); 289-302
1806-9134
0034-7140
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
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