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Measuring Inflation Persistence in Brazil Using a Multivariate Model

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

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  1. M. Dossche & G. Everaert, 2005. "Measuring inflation persistence: a structural time series approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/340, Ghent University, Faculty of Economics and Business Administration.
  2. Waldyr Dutra Areosa & Christiano Arrigoni Coelho, 2013. "Using a DSGE Model to Assess the Macroeconomic Effects of Reserve Requirements in Brazil," Working Papers Series 303, Central Bank of Brazil, Research Department.
  3. Sergio A. Lago Alves, 2013. "Is the Divine Coincidence Just a Coincidence? The Implications of Trend Inflation," Working Papers Series 329, Central Bank of Brazil, Research Department.
  4. Paulo Roberto de Sampaio Alves & Francisco Marcos Rodrigues Figueiredo & Antonio Negromonte Nascimento Junior & Leonardo Pio Perez, 2013. "Preços Administrados: projeção e repasse cambial," Working Papers Series 305, Central Bank of Brazil, Research Department.
  5. Emanuel Kohlscheen & Sandro C. Andrade, 2013. "Official Interventions through Derivatives: affecting the demand for foreign exchange," Working Papers Series 317, Central Bank of Brazil, Research Department.
  6. Sidney Martins Caetano & Guilherme Valle Moura, 2011. "Reajuste Informacionalno Brasil: uma aplicação da curva de Phillips sobrigidez de informação," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 54, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  7. Emanuel Kohlscheen, 2014. "Long‐Run Determinants Of The Brazilian Real: A Closer Look At Commodities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 239-250, October.
  8. Marcos Valli Jorge & Wilfredo Leiva Maldonado, 2013. "Price Differentiation and Menu Costs in Credit Card Payments," Working Papers Series 315, Central Bank of Brazil, Research Department.
  9. Durevall, Dick, 1998. "Inertial Inflation, Indexation and Price Stickiness: Evidence from Brazil," Working Papers in Economics 8, University of Gothenburg, Department of Economics.
  10. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
  11. Guillén, Osmani Teixeira de Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 742, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  12. Jacopo Ponticelli & Leonardo S. Alencar, 2013. "Celeridade do Sistema Judiciário e Créditos Bancários para as Indústrias de Transformação," Working Papers Series 327, Central Bank of Brazil, Research Department.
  13. Benjamin M. Tabak & Solange M. Guerra & Rodrigo C. Miranda & Sergio Rubens S. de Souza, 2012. "Stress Testing Liquidity Risk: The Case of the Brazilian Banking System," Working Papers Series 302, Central Bank of Brazil, Research Department.
  14. Bruno Martins & Ricardo Schechtman, 2013. "Loan Pricing Following a Macro Prudential Within-Sector Capital Measure," Working Papers Series 323, Central Bank of Brazil, Research Department.
  15. Sin, Hui Lok & Gaglianone, Wagner Piazza, 2006. "Stochastic simulation of a DSGE model for Brazil," MPRA Paper 20853, University Library of Munich, Germany.
  16. repec:fgv:epgrbe:v:57:n:4:a:3 is not listed on IDEAS
  17. Bruno Martins, 2012. "Local Market Structure and Bank Competition: evidence from the Brazilian auto loan market," Working Papers Series 299, Central Bank of Brazil, Research Department.
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