Phillips curve in Brazil: an unobserved components approach

Detalhes bibliográficos
Autor(a) principal: Machado, Vicente da Gama
Data de Publicação: 2014
Outros Autores: Portugal, Marcelo Savino
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Estudos Econômicos (São Paulo)
Texto Completo: https://www.revistas.usp.br/ee/article/view/38364
Resumo: This paper estimates reduced-form Phillips curves for Brazil with a framework of time series with unobserved components, in the spirit of Harvey (2011). However, we allow for expectations to play a key role using data from the Central Bank of Brazil’s Focus survey. Besides GDP, we also use industrial capacity utilization rate and an unexplored time series (IBC-Br), as measures of economic activity. Our findings support the view that Brazilian inflation targeting has been successful in reducing the variance of both the seasonality and level of the inflation rate, at least until before the subprime crisis. Furthermore, inflation in Brazil seems to have responded gradually less to measures of economic activity in recent years. This provides some evidence of a flattening of the Phillips curve in Brazil, a trend previously shown by recent studies for other countries.            
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spelling Phillips curve in Brazil: an unobserved components approachCurva de Phillips Novo-KeynesianaInflaçãoComponentes não observadosNew Keynesian Phillips curveinflationunobserved componentsThis paper estimates reduced-form Phillips curves for Brazil with a framework of time series with unobserved components, in the spirit of Harvey (2011). However, we allow for expectations to play a key role using data from the Central Bank of Brazil’s Focus survey. Besides GDP, we also use industrial capacity utilization rate and an unexplored time series (IBC-Br), as measures of economic activity. Our findings support the view that Brazilian inflation targeting has been successful in reducing the variance of both the seasonality and level of the inflation rate, at least until before the subprime crisis. Furthermore, inflation in Brazil seems to have responded gradually less to measures of economic activity in recent years. This provides some evidence of a flattening of the Phillips curve in Brazil, a trend previously shown by recent studies for other countries.            Este artigo estima curvas de Phillips para o Brasil com uma abordagem de sériestemporais com componentes não observados, seguindo Harvey (2011). Entretanto, éconferido um papel central a expectativas utilizando dados do Boletim Focus do BancoCentral do Brasil. Além do PIB, empregamos a taxa de utilização da capacidade industriale uma série ainda pouco explorada, IBC-Br, como medidas de atividade econômica.Os resultados apoiam a visão que o sistema de metas no Brasil tem sido bem-sucedidoem reduzir a variância na sazonalidade e no nível da taxa de inflação, ao menos atéo início da crise imobiliária americana. Além disso, a inflação parece ter respondidogradualmente menos a medidas de atividade no período recente. Tal fato constituiuma evidência de achatamento da Curva de Phillips no Brasil, tendência observada emestudos recentes de outros países.Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade2014-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ee/article/view/38364Estudos Econômicos (São Paulo); v. 44 n. 4 (2014); 787-8141980-53570101-4161reponame:Estudos Econômicos (São Paulo)instname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ee/article/view/38364/90916Copyright (c) 2014 Vicente da Gama Machado, Marcelo Savino Portugalhttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessMachado, Vicente da GamaPortugal, Marcelo Savino2020-12-08T18:19:00Zoai:revistas.usp.br:article/38364Revistahttps://www.revistas.usp.br/eePUBhttps://www.revistas.usp.br/ee/oaiestudoseconomicos@usp.br||aldrighi@usp.br1980-53570101-4161opendoar:2020-12-08T18:19Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Phillips curve in Brazil: an unobserved components approach
title Phillips curve in Brazil: an unobserved components approach
spellingShingle Phillips curve in Brazil: an unobserved components approach
Machado, Vicente da Gama
Curva de Phillips Novo-Keynesiana
Inflação
Componentes não observados
New Keynesian Phillips curve
inflation
unobserved components
title_short Phillips curve in Brazil: an unobserved components approach
title_full Phillips curve in Brazil: an unobserved components approach
title_fullStr Phillips curve in Brazil: an unobserved components approach
title_full_unstemmed Phillips curve in Brazil: an unobserved components approach
title_sort Phillips curve in Brazil: an unobserved components approach
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 Curva de Phillips Novo-Keynesiana
Inflação
Componentes não observados
New Keynesian Phillips curve
inflation
unobserved components
topic Curva de Phillips Novo-Keynesiana
Inflação
Componentes não observados
New Keynesian Phillips curve
inflation
unobserved components
description This paper estimates reduced-form Phillips curves for Brazil with a framework of time series with unobserved components, in the spirit of Harvey (2011). However, we allow for expectations to play a key role using data from the Central Bank of Brazil’s Focus survey. Besides GDP, we also use industrial capacity utilization rate and an unexplored time series (IBC-Br), as measures of economic activity. Our findings support the view that Brazilian inflation targeting has been successful in reducing the variance of both the seasonality and level of the inflation rate, at least until before the subprime crisis. Furthermore, inflation in Brazil seems to have responded gradually less to measures of economic activity in recent years. This provides some evidence of a flattening of the Phillips curve in Brazil, a trend previously shown by recent studies for other countries.            
publishDate 2014
dc.date.none.fl_str_mv 2014-12-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.revistas.usp.br/ee/article/view/38364
url https://www.revistas.usp.br/ee/article/view/38364
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ee/article/view/38364/90916
dc.rights.driver.fl_str_mv Copyright (c) 2014 Vicente da Gama Machado, Marcelo Savino Portugal
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2014 Vicente da Gama Machado, Marcelo Savino Portugal
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
publisher.none.fl_str_mv Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
dc.source.none.fl_str_mv Estudos Econômicos (São Paulo); v. 44 n. 4 (2014); 787-814
1980-5357
0101-4161
reponame:Estudos Econômicos (São Paulo)
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Estudos Econômicos (São Paulo)
collection Estudos Econômicos (São Paulo)
repository.name.fl_str_mv Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)
repository.mail.fl_str_mv estudoseconomicos@usp.br||aldrighi@usp.br
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