文章基本信息

标题：Core Inflation, Expectations and Inflation Dynamics in Brazil
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作者：Antônio Clécio de Brito ; Elano Ferreira Arruda ; Ivan Castelar 等
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2019
卷号：11
期号：6
页码：1-13
DOI：10.5539/ijef.v11n6p1
出版社：Canadian Center of Science and Education
摘要：This work investigates the adequacy of core inflation measures as indicators of forward-looking expectations in the hybrid new Keynesian Phillips curve (HNKPC) for the Brazilian economy. For that purpose, we use monthly data between January 2002 and August 2015 and the heteroscedasticity and autocorrelation consistent generalized method of moments (HAC-GMM). The results indicate that the HNKPC is a robust mechanism to model Brazilian inflation dynamics in the period analyzed; that the recent increase in the degree of indexation of the Brazilian economy seems to have contributed to the formation of a stronger inertial component of inflation; and also that the core inflation measures appear to be potential indicators to model forward-looking expectations in the HNKPC in Brazil. Furthermore, the inflation forecasts extracted from these models are statistically similar to those generated by models that use market prognoses from the Focus survey published by the Central Bank of Brazil. Therefore, the core inflation measures appear to have adequately anchored the inflation expectations in Brazil in the period analyzed.
关键词：core inflation; expectations; Phillips Curve; HAC-GMM