Inflação inercial sob mudanças de regime: análise a partir de um modelo MS-ARFIMA, 1944-2009

Authors

  • Erik Alencar de Figueiredo Universidade Federal da Paraíba; Programa de Pós-graduação em Economia
  • André M. Marques Universidade Federal do Rio Grande do Norte; Programa de Pós-graduação em Economia

DOI:

https://doi.org/10.1590/S1413-80502011000300005

Keywords:

Inertial Inflation, MS-ARFIMA, Long Run Dependence

Abstract

The main goal of this paper is search for the long run dependence in the Brazilian inflation rate allowing regime switching by the MS-ARFIMA model. The principal contribution of this paper is the simultaneous and consistent estimation of longmemory coefficient d and the several regimes that encompass them. The results enable us to conclude that there were two regimes in the Brazilian economy with high persistence: hyperinflation regime and low inflation regime. The long run memory of inflation rate is dependent upon regime switching. The low inflation regime is the more persistent one.

Downloads

Download data is not yet available.

Downloads

Published

2011-09-01

Issue

Vol. 15 No. 3 (2011)

Section

Papers

How to Cite

Figueiredo, E. A. de, & Marques, A. M. (2011). Inflação inercial sob mudanças de regime: análise a partir de um modelo MS-ARFIMA, 1944-2009. Economia Aplicada, 15(3), 443-457. https://doi.org/10.1590/S1413-80502011000300005