Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil

Detalhes bibliográficos
Autor(a) principal: Ferreira,Diego
Data de Publicação: 2015
Outros Autores: Palma,Andreza Aparecida
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=S0034-71402015000400451
Resumo: This paper proposes a generalized Phillips curve in order to forecast Brazilian inflation over the 2003:M1–2013:M10 period. To this end, we employ the Dynamic Model Averaging (DMA) method, which allows for both model evolution and time-varying parameters. The procedure mainly consists in state-space representation and by Kalman filter estimation. Overall, the dynamic specifications deliver good inflation predictions for all the forecast horizons considered, underscoring the importance of time-varying features for forecasting exercises. As to the usefulness of the predictors on explaining the Brazilian inflation, there are evidences that the short- and long-term Phillips curve relationship may be rejected for Brazil while short- and medium-term exchange rate pass-through apparently has been decreasing in the last years.
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spelling Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for BrazilPhillips CurveInflationForecastTime-Varying ParameterThis paper proposes a generalized Phillips curve in order to forecast Brazilian inflation over the 2003:M1–2013:M10 period. To this end, we employ the Dynamic Model Averaging (DMA) method, which allows for both model evolution and time-varying parameters. The procedure mainly consists in state-space representation and by Kalman filter estimation. Overall, the dynamic specifications deliver good inflation predictions for all the forecast horizons considered, underscoring the importance of time-varying features for forecasting exercises. As to the usefulness of the predictors on explaining the Brazilian inflation, there are evidences that the short- and long-term Phillips curve relationship may be rejected for Brazil while short- and medium-term exchange rate pass-through apparently has been decreasing in the last years.Fundação Getúlio Vargas2015-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402015000400451Revista Brasileira de Economia v.69 n.4 2015reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.5935/0034-7140.20150021info:eu-repo/semantics/openAccessFerreira,DiegoPalma,Andreza Aparecidaeng2016-10-10T00:00:00Zoai:scielo:S0034-71402015000400451Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2016-10-10T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
title Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
spellingShingle Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
Ferreira,Diego
Phillips Curve
Inflation
Forecast
Time-Varying Parameter
title_short Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
title_full Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
title_fullStr Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
title_full_unstemmed Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
title_sort Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
author Ferreira,Diego
author_facet Ferreira,Diego
Palma,Andreza Aparecida
author_role author
author2 Palma,Andreza Aparecida
author2_role author
dc.contributor.author.fl_str_mv Ferreira,Diego
Palma,Andreza Aparecida
dc.subject.por.fl_str_mv Phillips Curve
Inflation
Forecast
Time-Varying Parameter
topic Phillips Curve
Inflation
Forecast
Time-Varying Parameter
description This paper proposes a generalized Phillips curve in order to forecast Brazilian inflation over the 2003:M1–2013:M10 period. To this end, we employ the Dynamic Model Averaging (DMA) method, which allows for both model evolution and time-varying parameters. The procedure mainly consists in state-space representation and by Kalman filter estimation. Overall, the dynamic specifications deliver good inflation predictions for all the forecast horizons considered, underscoring the importance of time-varying features for forecasting exercises. As to the usefulness of the predictors on explaining the Brazilian inflation, there are evidences that the short- and long-term Phillips curve relationship may be rejected for Brazil while short- and medium-term exchange rate pass-through apparently has been decreasing in the last years.
publishDate 2015
dc.date.none.fl_str_mv 2015-12-01
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=S0034-71402015000400451
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402015000400451
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.5935/0034-7140.20150021
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.69 n.4 2015
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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