An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil

An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil

dc.creatorda Silva, Cleomar Gomes
dc.creatorLeme, Maria Carolina da Silva
dc.date2011-09-27
dc.date.accessioned2023-08-31T21:35:51Z
dc.date.available2023-08-31T21:35:51Z
dc.identifierhttps://periodicos.fgv.br/rbe/article/view/3373
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/8559917
dc.descriptionThis paper makes use of Auto-Regressive Fractionally Integrated (ARFIMA) models, as well as unit root tests with structural breaks, to examine the IPCA (the official inflation rate), inflation expectations, and the real interest rate in Brazil. For the period ranging from July 1999 to December 2010 the results show that the Brazilian inflation can be taken as stationary and mean-reverting, with some degree of persistence. As for inflation expectations, the non-stationarity detected in the fractional integration model is due to structural breaks, meaning that they can also be taken as stationary with mean-reversion. Finally, the Selic interest rate shows some sign of non-stationarity, which had already been found in the unit root tests. However, it cannot be characterized by a unit root of a pure form, but as a fractionally integrated process with some long memory.en-US
dc.descriptionEste artigo analisa a questão dos graus de persistência do IPCA, da taxa real de juros e das expectativas de inflação no Brasil por intermédio dos Modelos Auto-Regressivos de Integração Fracionada e modelos de raiz unitária com quebra estrutural. O estudo compreende o período de Julho de 1999 a Dezembro de 2010 e seus resultados apontam para uma taxa de inflação brasileira estacionária, com reversão à média e com algum grau de persistência. As expectativas de inflação mostraram características iniciais de não-estacionariedade, sendo isto devido ao problema de quebras estruturais na série. Quando tal problema é resolvido, a série pode ser considerada estacionária e com reversão à média. Finalmente, a taxa real de juros Selic possui claros sinais de não-estacionariedade, já detectados nos testes de raiz unitária. Contudo, os modelos ARFIMA indicam que a série não segue um processo puro de raiz unitária, mas sim um processo fracionalmente integrado e com memória longa.pt-BR
dc.formatapplication/pdf
dc.formatapplication/pdf
dc.languagepor
dc.languageeng
dc.publisherEGV EPGEpt-BR
dc.relationhttps://periodicos.fgv.br/rbe/article/view/3373/2260
dc.relationhttps://periodicos.fgv.br/rbe/article/view/3373/2263
dc.sourceRevista Brasileira de Economia; Vol. 65 No. 3 (2011); 289-302en-US
dc.sourceRevista Brasileira de Economia; v. 65 n. 3 (2011); 289-302pt-BR
dc.source1806-9134
dc.source0034-7140
dc.subjectInflation Persistenceen-US
dc.subjectMonetary Policyen-US
dc.subjectTime Series Analysis.en-US
dc.subjectInflation Persistencept-BR
dc.subjectMonetary Policypt-BR
dc.subjectTime Series Analysispt-BR
dc.titleAn Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazilen-US
dc.titleAn Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazilpt-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typeArticlesen-US
dc.typeArtigospt-BR


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