文章基本信息

标题：Inflation targeting and inflation deviation inertia: a study for Brazil based on the fractional integration approach
本地全文：下载
作者：Ricardo Ramalhete Moreira ; Edson Zambon Monte ; André Abdala 等
期刊名称：Journal of Applied Economics
印刷版ISSN：1514-0326
电子版ISSN：1667-6726
出版年度：2018
卷号：21
期号：1
页码：67-83
DOI：10.1080/15140326.2018.1526877
摘要：We applied the fractional integration approach to measure inflation deviation inertia in an emerging economy under an inflation targeting regime, as well as to control for potential determinants of such a deviation. We did not base our analysis on typical unit root tests, as we identified a long-memory behavior in inflation deviation. Such a non-conventional procedure can be regarded as a contribution to the inflation targeting literature. From ARFIMA and ARFIMAX estimates, we identified that inflation deviation was mainly determined by a strong inertia degree (AR(1)), commodity prices, nominal exchange rate and economic activity over the entire sample. Moreover, we found an increase of the inflation deviation inertia over the last years of our time sample, thereby indicating a deterioration of the inflation targeting regime in such a specific period.
关键词：Fractional integration ; long;memory ; inflation deviation ; emerging economy