연구정보
Measuring inflation persistence in Brazil using a multivariate model
브라질 국외연구자료 기타 Vicente da Gama Machado, Marcelo Savino Portugal Revista Brasileira de Economia 발간일 : 2013-11-01 등록일 : 2016-06-28 원문링크
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.