Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter

Detalhes bibliográficos
Autor(a) principal: Campos, Eduardo Lima
Data de Publicação: 2018
Outros Autores: Cysne, Rubens Penha
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/24714
Resumo: This paper compares the time-varying cointegration and the Kalman filter techniques to estimate the Brazilian money demand between 1996 and 2015. The estimation using Kalman filtering performs better and is subsequently used to calculate the welfare cost of inflation. Taking into consideration the time variability of the interest-rate elasticity during the period, the average welfare cost amounts to 0.24% of GDP, for an average annual inflation of 6.63%.
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spelling Campos, Eduardo LimaCysne, Rubens PenhaEscolas::EPGEFGV2018-09-06T12:54:41Z2018-09-06T12:54:41Z2018-08-010104-8910http://hdl.handle.net/10438/24714This paper compares the time-varying cointegration and the Kalman filter techniques to estimate the Brazilian money demand between 1996 and 2015. The estimation using Kalman filtering performs better and is subsequently used to calculate the welfare cost of inflation. Taking into consideration the time variability of the interest-rate elasticity during the period, the average welfare cost amounts to 0.24% of GDP, for an average annual inflation of 6.63%.Este artigo compara as técnicas do filtro de Kalman e de cointegração dinâmica para estimar a demanda brasileira por moeda entre 1996 e 2015. A estimação com o filtro de Kalman apresenta resultados melhores e é usada para calcular o custo de bem-estar da inflação. Considerando-se a variabilidade no tempo da elasticidade-juros durante o período, o custo médio de bem-estar foi estimado em 0,24% do PIB, para uma inflação anual média de 6,63%.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;801Welfare cost of inflationMoney demandKalman filterCusto de bem-estar da inflaçãoDemanda por moedaCointegraçãoFiltro de KalmanEconomiaBem-estar econômicoKalman, Filtragem deMoedaBrasil - Política econômicaWelfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filterinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/reportreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTwelfare-cost-of-inflation-in-brazil-an-approach-with-time-varying-cointe....pdf.txtwelfare-cost-of-inflation-in-brazil-an-approach-with-time-varying-cointe....pdf.txtExtracted texttext/plain47030https://repositorio.fgv.br/bitstreams/a3307ad6-d727-4cb3-b6f6-75e662671838/downloadfab3f50378c3726d081936c48b522033MD54ORIGINALwelfare-cost-of-inflation-in-brazil-an-approach-with-time-varying-cointe....pdfwelfare-cost-of-inflation-in-brazil-an-approach-with-time-varying-cointe....pdfapplication/pdf2128791https://repositorio.fgv.br/bitstreams/f470b966-1aa5-4f58-9de5-ed97ea46666b/downloadf0c77df4dbf377c17ee9a32c7b3d0e0aMD51THUMBNAILwelfare-cost-of-inflation-in-brazil-an-approach-with-time-varying-cointe....pdf.jpgwelfare-cost-of-inflation-in-brazil-an-approach-with-time-varying-cointe....pdf.jpgGenerated Thumbnailimage/jpeg3843https://repositorio.fgv.br/bitstreams/381aaedc-3235-404e-bd14-d736016b332b/downloadaecda26107300c9529f632aa31ef648eMD5510438/247142023-11-28 11:52:47.509open.accessoai:repositorio.fgv.br:10438/24714https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-28T11:52:47Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter
title Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter
spellingShingle Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter
Campos, Eduardo Lima
Welfare cost of inflation
Money demand
Kalman filter
Custo de bem-estar da inflação
Demanda por moeda
Cointegração
Filtro de Kalman
Economia
Bem-estar econômico
Kalman, Filtragem de
Moeda
Brasil - Política econômica
title_short Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter
title_full Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter
title_fullStr Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter
title_full_unstemmed Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter
title_sort Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter
author Campos, Eduardo Lima
author_facet Campos, Eduardo Lima
Cysne, Rubens Penha
author_role author
author2 Cysne, Rubens Penha
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Campos, Eduardo Lima
Cysne, Rubens Penha
dc.subject.eng.fl_str_mv Welfare cost of inflation
Money demand
Kalman filter
topic Welfare cost of inflation
Money demand
Kalman filter
Custo de bem-estar da inflação
Demanda por moeda
Cointegração
Filtro de Kalman
Economia
Bem-estar econômico
Kalman, Filtragem de
Moeda
Brasil - Política econômica
dc.subject.por.fl_str_mv Custo de bem-estar da inflação
Demanda por moeda
Cointegração
Filtro de Kalman
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Bem-estar econômico
Kalman, Filtragem de
Moeda
Brasil - Política econômica
description This paper compares the time-varying cointegration and the Kalman filter techniques to estimate the Brazilian money demand between 1996 and 2015. The estimation using Kalman filtering performs better and is subsequently used to calculate the welfare cost of inflation. Taking into consideration the time variability of the interest-rate elasticity during the period, the average welfare cost amounts to 0.24% of GDP, for an average annual inflation of 6.63%.
publishDate 2018
dc.date.accessioned.fl_str_mv 2018-09-06T12:54:41Z
dc.date.available.fl_str_mv 2018-09-06T12:54:41Z
dc.date.issued.fl_str_mv 2018-08-01
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
format report
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/24714
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
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dc.language.iso.fl_str_mv eng
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dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;801
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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