文章基本信息

标题：Measuring inflation persistence in Brazil using a multivariate model
本地全文：下载
作者：Vicente da Gama Machado ; Marcelo Savino Portugal
期刊名称：Revista Brasileira de Economia
印刷版ISSN：0034-7140
出版年度：2014
卷号：68
期号：2
页码：225-241
语种：English
出版社：Escola de Pós-Graduação em Economia da FGV
摘要：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.
关键词：Inflation persistence; inflation expectations; Kalman filter; Bayesian analysis