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Measuring inflation persistence in Brazil using a multivariate model

Listed author(s):
  • Machado, Vicente da Gama
  • Portugal, Marcelo Savino

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.

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File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/7524
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Article provided by FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its journal Revista Brasileira de Economia.

Volume (Year): 68 (2014)
Issue (Month): 2 (June)
Pages:

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Handle: RePEc:fgv:epgrbe:v:68:y:2014:i:2:a:7524
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