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A Curva de Phillips e a Experiência Brasileira

  • Adolfo Sachsida
  • Marcio Ribeiro
  • Claudio Hamilton dos Santos

Este estudo estima uma curva de Phillips com mudança de regime para a economia brasileira no período 1995-2008. De maneira geral, são três os principais resultados encontrados: i) ao contrário do que ocorreu nos resultados anteriores, ao adotarem-se especificações não lineares para a curva de Phillips, o coeficiente da expectativa de inflação torna-se superior ao coeficiente da inflação passada. Isto sugere que artigos que estimam a curva de Phillips por modelos lineares podem estar subestimando o papel das expectativas na dinâmica inflacionária; ii) os testes sugerem fortemente a rejeição da hipótese de linearidade nos parâmetros da curva de Phillips, isto é, a estimação da curva de Phillips por métodos lineares seria viesada e ineficiente; e iii) os resultados econométricos mostram pouca robustez, e alta sensibilidade, dos parâmetros a diferenças nas especificações de não linearidade ou mudanças no conjunto de proxies adotadas. Isto parece indicar a inadequação da curva de Phillips para explicar a dinâmica inflacionária na economia brasileira.

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Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1429.

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Length: 22 pages
Date of creation: Oct 2009
Date of revision:
Handle: RePEc:ipe:ipetds:1429
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  1. Olivier J. Blanchard & Jordi Galí, 2005. "Real wage rigidities and the New Keynesian model," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
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  12. Gunnar Bardsen & Eilev S. Jansen & Ragnar Nymoen, 2004. "Econometric Evaluation of the New Keynesian Phillips Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 671-686, 09.
  13. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," CEPR Discussion Papers 2139, C.E.P.R. Discussion Papers.
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  15. David Hargreaves & Hannah Kite & Bernard Hodgetts, 2006. "Modelling New Zealand inflation in a Phillips curve," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, September.
  16. Alexandre A. Tombini & Sergio A. Lago Alves, 2006. "The Recent Brazilian Disinflation Process and Costs," Working Papers Series 109, Central Bank of Brazil, Research Department.
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