Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil

dc.creatorFerreira, Diego
dc.creatorPalma, Andreza Aparecida
dc.date2015-12-02
dc.date.accessioned2023-08-31T21:37:36Z
dc.date.available2023-08-31T21:37:36Z
dc.identifierhttps://periodicos.fgv.br/rbe/article/view/34068
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/8560115
dc.descriptionThis paper proposes a generalized Phillips curve in order to forecast Brazilian inflation over the 2003:M1–2013:M10 period. To this end, we employ the Dynamic Model Averaging (DMA) method, which allows for both model evolution and time-varying parameters. The procedure mainly consists in state-space representation and by Kalman filter estimation. Overall, the dynamic specifications deliver good inflation predictions for all the forecast horizons considered, underscoring the importance of time-varying features for forecasting exercises. As to the usefulness of the predictors on explaining the Brazilian inflation, there are evidences that the short- and long-term Phillips curve relationship may be rejected for Brazil while short- and medium-term exchange rate pass-through apparently has been decreasing in the last years.pt-BR
dc.formatapplication/pdf
dc.languagepor
dc.publisherEGV EPGEpt-BR
dc.relationhttps://periodicos.fgv.br/rbe/article/view/34068/56228
dc.rightsCopyright (c) 2015 Revista Brasileira de Economiapt-BR
dc.sourceRevista Brasileira de Economia; Vol. 69 No. 4 (2015): Out-Dez; 451-465en-US
dc.sourceRevista Brasileira de Economia; v. 69 n. 4 (2015): Out-Dez; 451-465pt-BR
dc.source1806-9134
dc.source0034-7140
dc.subjectPhillips Curvept-BR
dc.subjectInflationpt-BR
dc.subjectForecastpt-BR
dc.subjectTime-Varying Parameterpt-BR
dc.titleForecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazilpt-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typeArticlesen-US
dc.typeArtigospt-BR


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