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Measuring Inflation Persistence in Brazil Using a Multivariate Model

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

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://www.bcb.gov.br/pec/wps/ingl/wps331.pdf
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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 331.

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Date of creation: Nov 2013
Handle: RePEc:bcb:wpaper:331
Contact details of provider: Web page: http://www.bcb.gov.br/?english

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