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A Curva de Phillips e a Experiência Brasileira

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  • Adolfo Sachsida
  • Marcio Ribeiro
  • Claudio Hamilton dos Santos

Abstract

Este estudo estima uma curva de Phillips com mudança de regime para a economia brasileira no período 1995-2008. De maneira geral, são três os principais resultados encontrados: i) ao contrário do que ocorreu nos resultados anteriores, ao adotarem-se especificações não lineares para a curva de Phillips, o coeficiente da expectativa de inflação torna-se superior ao coeficiente da inflação passada. Isto sugere que artigos que estimam a curva de Phillips por modelos lineares podem estar subestimando o papel das expectativas na dinâmica inflacionária; ii) os testes sugerem fortemente a rejeição da hipótese de linearidade nos parâmetros da curva de Phillips, isto é, a estimação da curva de Phillips por métodos lineares seria viesada e ineficiente; e iii) os resultados econométricos mostram pouca robustez, e alta sensibilidade, dos parâmetros a diferenças nas especificações de não linearidade ou mudanças no conjunto de proxies adotadas. Isto parece indicar a inadequação da curva de Phillips para explicar a dinâmica inflacionária na economia brasileira.

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Bibliographic Info

Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1429.

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Length: 22 pages
Date of creation: Oct 2009
Date of revision:
Handle: RePEc:ipe:ipetds:1429

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  1. Karanassou, Marika & Snower, Dennis J., 2007. "Inflation Persistence and the Phillips Curve Revisited," IZA Discussion Papers 2600, Institute for the Study of Labor (IZA).
  2. Argia M. Sbordone, 2001. "Prices and Unit Labor Costs: A New Test of Price Stickiness," Departmental Working Papers 200112, Rutgers University, Department of Economics.
  3. Gali, Jordi & Gertler, Mark & Lopez-Salido, J. David, 2001. "European inflation dynamics," European Economic Review, Elsevier, vol. 45(7), pages 1237-1270.
  4. Jordi Gali & Mark Gertler, 2000. "Inflation Dynamics: A Structural Econometric Analysis," NBER Working Papers 7551, National Bureau of Economic Research, Inc.
  5. Gunnar Bardsen & Eilev S. Jansen & Ragnar Nymoen, 2004. "Econometric Evaluation of the New Keynesian Phillips Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 671-686, 09.
  6. Olivier Blanchard & Jordi Galí, 2005. "Real wage rigidities and the new Keynesian model," Economics Working Papers 912, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
  7. Steffen Henzel & Timo Wollmershäuser, 2006. "The New Keynesian Phillips Curve and the Role of Expectations: Evidence from the Ifo World Economic Survey," CESifo Working Paper Series 1694, CESifo Group Munich.
  8. Mark Gertler & Jordi Gali & Richard Clarida, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December.
  9. Angelo M. Fasolo & Marcelo Savino Portugal, 2003. "Imperfect Rationality and Inflationary Inertia: a New Estimation of the Phillips Curve for Brazil," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] b34, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  10. André Minella & Paulo Springer de Freitas & Ilan Goldfajn & Marcelo Kfoury Muinhos, 2003. "Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility," Working Papers Series 77, Central Bank of Brazil, Research Department.
  11. Antonio Alberto Mazali & Jose Angelo Divino, 2010. "Real Wage Rigidity and the New Phillips Curve: The Brazilian Case," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 64(3), pages 291-306, September.
  12. Sergio A. L. Alves & Waldyr D. Areosa, 2005. "Targets and Inflation Dynamics," Working Papers Series 100, Central Bank of Brazil, Research Department.
  13. Rudd, Jeremy & Whelan, Karl, 2005. "New tests of the new-Keynesian Phillips curve," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1167-1181, September.
  14. Alexandre A. Tombini & Sergio A. Lago Alves, 2006. "The Recent Brazilian Disinflation Process and Costs," Working Papers Series 109, Central Bank of Brazil, Research Department.
  15. André Minella & Paulo Springer de Freitas & Ilan Goldfajn & Marcelo Kfoury Muinhos, 2003. "Inflation Targeting in Brazil: Constructing Credibility Under Exchange Rate Volatility," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] b26, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  16. David Hargreaves & Hannah Kite & Bernard Hodgetts, 2006. "Modelling New Zealand inflation in a Phillips curve," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, September.
  17. Timothy Cogley & Argia M. Sbordone, 2006. "Trend inflation and inflation persistence in the New Keynesian Phillips curve," Staff Reports 270, Federal Reserve Bank of New York.
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