Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | |
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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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 |
_version_ |
1754115905629978624 |