Long Memory Inflationary Dynamics: The Case of Brazil
AbstractIt has been argued by several authors that the inflationary dynamics in Brazil follow a unit root process, thus displaying some inertia. Indeed, Cati, et al. (Journal of Applied Econometrics, 1999) have found that the inflationary dynamics in Brazil are nearly fully inertial. We estimate the fractional differencing parameter using an ARFIMA specification for the inflation rate in that country and our results suggest that the inflationary dynamics are better modeled by a long memory process than by a unit root mechanism, thus implying that there is no inertia in inflation, contrary to what has been found by other researchers. We also found that the estimates of the fractional parameter are invariant to first differencing.
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Bibliographic InfoArticle provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.
Volume (Year): 7 (2003)
Issue (Month): 3 (October)
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Web page: http://www.degruyter.com
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- Martin Cerisola & Gaston Gelos, 2009.
"What drives inflation expectations in Brazil? An empirical analysis,"
Taylor & Francis Journals, vol. 41(10), pages 1215-1227.
- Martin Cerisola & Gaston Gelos, 2005. "What Drives Inflation Expectations in Brazil? An Empirical Analysis," IMF Working Papers 05/109, International Monetary Fund.
- Ben Nasr, Adnen & Trabelsi, Abdelwahed, 2005. "Seasonal and Periodic Long Memory Models in the In�ation Rates," MPRA Paper 22690, University Library of Munich, Germany, revised 03 Feb 2006.
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