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Weak dependence between the Brazilian consumer inflation and expected inflation: non-linear and Copulas methods and a note on the Central Bank's credibility

Author

Listed:
  • Ricardo Ramalhete Moreira
  • Chukiat Chaiboonsri
  • Prasert Chaitip

Abstract

By implementing the Copulas method, this work analyses the dependence relationship or structure between the Brazilian consumer observed inflation and the expected inflation, from January 2005 to June 2011. Its results are consistent with some works for the Brazilian case, as the dependence structure measures showed that there exists a weak relationship between those variables, thereby confirming the hypothesis of high credibility for the Brazilian monetary policy under the inflation targeting period.

Suggested Citation

  • Ricardo Ramalhete Moreira & Chukiat Chaiboonsri & Prasert Chaitip, 2013. "Weak dependence between the Brazilian consumer inflation and expected inflation: non-linear and Copulas methods and a note on the Central Bank's credibility," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 6(1), pages 40-54.
    • Handle: RePEc:ids:ijmefi:v:6:y:2013:i:1:p:40-54
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    Cited by:

    1. Moreira, Ricardo Ramalhete, 2016. "Measuring the Monetary Policy’s Structural Credibility by the Expected Inflation Determinants: a Kalman Filter Approach for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.

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