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Dinâmica inflacionária brasileira: resultados de auto-regressão quantílica

Author

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  • Maia, André Luis Santiago
  • Cribari-Neto, Francisco

Abstract

Neste artigo nós estudamos a dinâmica inflacionária brasileira após a implementação do Plano Real em 1994. Nós usamos modelos auto-regressivos quantílicos e testes de raiz unitária baseados em representações auto-regressivas quantílicas para caracterizar tal dinâmica. O artigo mostra que a dinâmica inflacionária não apresenta comportamento uniforme ao longo dos diferentes quantis condicionais. Em particular, os resultados fornecem evidência de dinâmica globalmente estacionária, mesmo com o processo alcançando não-estacionariedade na cauda superior da distribuição condicional.

Suggested Citation

  • Maia, André Luis Santiago & Cribari-Neto, Francisco, 2006. "Dinâmica inflacionária brasileira: resultados de auto-regressão quantílica," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
    • Handle: RePEc:fgv:epgrbe:v:60:y:2006:i:2:a:903
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    Cited by:

    1. Gaglianone, Wagner Piazza & Guillén, Osmani Teixeira de Carvalho & Figueiredo, Francisco Marcos Rodrigues, 2018. "Estimating inflation persistence by quantile autoregression with quantile-specific unit roots," Economic Modelling, Elsevier, vol. 73(C), pages 407-430.

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