Measuring inflation persistence in Brazil using a multivariate model

Revista Brasileira de Economia

Vicente Da Gama Machado¹  Marcelo Savino Portugal² 

[1] ,Banco Central do Brasil

关键词: Inflation Persistence;    Inflation Expectations;    Kalman Filter;    Bayesian Analysis;   

DOI  :  10.1590/S0034-71402014000200004

来源: SciELO

【 摘 要 】

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.

【 授权许可】

CC BY   
 All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License