Estimando o IPCA com parâmetros variando no tempo / CPI estimation using time varying parameters

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

This thesis seeks to estimate a Phillips curve using inflation expectations in an open economy by analyzing different sets of parameters using two differing approaches. The results are drawn from an ordinary least square (OLS) regression and compared to those obtained by applying time vary parameters. In addition, an investigation is made using recursive least squares (RLS). The parameters for the regressions are drawn from the monthly variation from a database series in order to identify different effects on the short-run dynamics of market prices and to analyze individual contribution of each variable over time. Five macroeconomic variables are studied: the output gap for industrial production (used as a proxy to calculate the effects of business cycles over inflation); the exchange rate USD/BRL (expressed as the monthly variation); the imported inflation component PPI; inflation expectations and the inertial dynamics of market prices

ASSUNTO(S)

economia curva de phillips cpi phillips curve ipca inflation inflação

ACESSO AO ARTIGO

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