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Relative price variability in Brazil: an analysis of headline and core inflation rates [Relative price variability in Brazil: an analysis of headline and core inflation rates]

Author

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  • Cleomar Gomes da Silva

    (UFU)

Abstract

The aim of this article is to study the causal relationship between inflation and relative price variability in Brazil. The period under analysis spans from January 1995 to June 2011. It focuses on both headline and core inflation rates, and also takes the inflation targeting regimeinto account. The time series analysis shows that: i) the correlation between inflation and relative price variability is positive and significant (the same applies to core inflation); ii) price dispersion decreases after the implementation of inflation targeting; iii) there is bi-causality between Headline-IPCA and Headline-RPV, but causality from Core-IPCA to Core-RPV; iv) the impulse response functions show that shocks to Core-IPCA don’t affect Core-RPV as much as shocks to Headline-IPCA affect HeadlineIPCA; v) the variance decomposition related to Core-IPCA and Core-RPV seems to be reduced when compared to headline inflation.

Suggested Citation

  • Cleomar Gomes da Silva, 2015. "Relative price variability in Brazil: an analysis of headline and core inflation rates [Relative price variability in Brazil: an analysis of headline and core inflation rates]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 25(1), pages 83-100, January-A.
    • Handle: RePEc:nov:artigo:v:25:y:2015:i:1:p:83-100
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    References listed on IDEAS

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    Cited by:

    1. Cleomar Gomes da Silva & Gilberto O. Boaretto, 2018. "Inflation and Relative Price Variability in Brazil: A Time-Varying Parameter Approach," Economics Bulletin, AccessEcon, vol. 38(4), pages 1947-1956.

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    More about this item

    Keywords

    Relative Price Variability; Inflation; Monetary Policy;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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