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: por
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: https://periodicos.fgv.br/rbe/article/view/7524
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.EGV EPGE2014-06-30info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/7524Revista Brasileira de Economia; Vol. 68 No. 2 (2014): Abr-Jun; 225-241Revista Brasileira de Economia; v. 68 n. 2 (2014): Abr-Jun; 225-2411806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/7524/25858Machado, Vicente da GamaPortugal, Marcelo Savinoinfo:eu-repo/semantics/openAccess2016-12-16T12:23:04Zoai:ojs.periodicos.fgv.br:article/7524Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:33.289516Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true
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 2014-06-30
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/7524
url https://periodicos.fgv.br/rbe/article/view/7524
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://periodicos.fgv.br/rbe/article/view/7524/25858
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 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. 68 No. 2 (2014): Abr-Jun; 225-241
Revista Brasileira de Economia; v. 68 n. 2 (2014): Abr-Jun; 225-241
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
_version_ 1798943114473242624

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