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Inflação Versus Desemprego: Novas Evidências Para o Brasil

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  • Mário Jorge Mendonça
  • Adolfo Sachsida

Abstract

O objetivo deste artigo é estimar a curva de Phillips novo-keynesiana (NKPC) para o Brasil. Para tal aplica-se o método GMM-HAC, devido à presença de problemas de especificação inicialmente observados. Uma investigação minuciosa para checar a robustez dos resultados incluiu reestimar a NKPC com base em diferentes proxies para variáveis do modelo tal como o uso de amostras de dimensão temporal distintas. De maneira geral, os seguintes resultados merecem destaque. Primeiro, a expectativa futura de inflação e a inflação passada têm relevância na dinâmica da inflação. Contudo, o papel das expectativas parece aumentar no período mais recente a partir de 2002. Para dados a partir de 1995, o efeito das expectativas é menor ou semelhante ao da inércia inflacionária. Segundo, para a maior parte das regressões estimadas, não foi possível rejeitar a hipótese de que a soma dos coeficientes da inflação passada e da expectativa de inflação seja igual à unidade. Em terceiro lugar, o efeito do desemprego sobre a inflação parece estar localizado no curto prazo. Para a maior parte dos casos em que as variáveis proxies foram usadas, esta relação foi observada com efeito negativo. No longo prazo, o efeito do desemprego parece ser nulo na formação da inflação. Por fim, parece haver uma quebra estrutural no efeito de uma mudança do câmbio sobre a inflação. Com dados a partir de 2002, o efeito de um choque cambial é negativo. Contudo, com a amostra ampliada desde 1995, o efeito de uma desvalorização cambial é positivo sobre a inflação. Palavras-chave: curva de Phillips; inflação; desemprego; choque cambial; GMM-HAC. The goal of this article is to estimate the New Keynesian Phillips Curve for Brazilian economy. Due to some specifications problems in regressions estimated by IV method, the GMM-HAC methodology was used in order to address them. We noted the robustness of the results performing a detailed investigation that was based not only on different proxies for the dependent variable and the regressors but also on samples with. distinct temporal dimensions. Among the main achievements of this study, the following are more remarkable. Firstly, the inflationary inertia and expectation of inflation are important variables for the dynamic of inflation although the relevance of expectation seems to be more relevant in a more recent period from 2002 onwards. When one estimates the NKPC using data from 1995, the effect of expectation get down and becomes close to the inertia. In second place, the majority of regressions did not reject the hypothesis derived from structural form that the sum of coefficients of lagged inflation and expectation of inflation is equal to unity. Thirdly, the effect of unemployment on inflation seems to present in short term. In the long run, the estimations do not able to detect any impact of unemployment on the dynamic of inflation. Finally, the structural break marks the relationship between the exchange rate and inflation. The regressions estimated with data from 2002, the effect of exchange rate shock is negative. But, when one uses data from 1995, this shock has a positive impact on inflation. Keywords: Phillips curve; inflation; rational expectations; unemployment; exchange rate shock; GMM-HAC method.

Suggested Citation

  • Mário Jorge Mendonça & Adolfo Sachsida, 2012. "Inflação Versus Desemprego: Novas Evidências Para o Brasil," Discussion Papers 1763, Instituto de Pesquisa Econômica Aplicada - IPEA.
  • Handle: RePEc:ipe:ipetds:1763
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    Cited by:

    1. Alexis Maka & Fernando De Holanda Barbosa, 2014. "Phillips Curves: An Encompassing Test," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 061, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Sachsida, Adolfo, 2013. "Inflação, Desemprego e Choques Cambiais: Uma Revisão da Literatura sobre a Curva de Phillips no Brasil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(4), November.
    3. Arnildo Da Silva Correa & Sergio Afonso Lago Alves, 2016. "A Tale Of Three Gaps: Unemployment, Capacity Utilization And Output," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting] 031, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    4. Ferreira, Diego & Palma, Andreza Aparecida, 2015. "Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 69(4), December.

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