Persistência inflacionária regional brasileira: uma aplicação dos modelos arfima

Abstract

This paper analyzes the degree of persistence of the Broad Consumer Price Index (IPCA) of the following Brazilian regions: Belém, Fortaleza, Recife, Salvador, Belo Horizonte, Rio de Janeiro, São Paulo, Curitiba, Porto Alegre, Brasília and Goiânia. Comparisons among the regional indices and the Aggregate IPCA were made. Auto-Regressive Fractionally Integrated (ARFIMA) models and tests with structural breaks were used for the period ranging from August 1999 to December 2011. We found that inflation rates in the Brazilian regions have some degree of persistence, but they are stationary and mean-reverting. This result was only achieved when structural breaks were accounted for, once they influenced particularly the results of Rio and Recife.