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

Revista Brasileira de Economia

Diego Ferreira¹  Andreza Aparecida Palma¹ 

关键词: Phillips Curve;    Inflation;    Forecast;    Time-Varying Parameter;   

DOI  :  10.5935/0034-7140.20150021

来源: SciELO

【 摘 要 】

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.

【 授权许可】

CC BY   
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