Measuring inflation persistence in Brazil using a multivariate model

Vicente Machado and Marcelo Savino Portugal

Revista Brasileira de Economia - RBE, 2014, vol. 68, issue 2

Abstract: 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.

Date: 2014
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Working Paper: Measuring Inflation Persistence in Brazil Using a Multivariate Model (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgrbe:v:68:y:2014:i:2:a:7524

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