NAIRU, inflation and phillips curve in Brazil: new evidences from a time-varying model
DOI:
https://doi.org/10.1590/0101-416147123apdKeywords:
NAIRU, Phillips curve, Time varying modelsAbstract
This paper aims to estimate the Brazilian NAIRU (Non-Accelerating Inflation Rate of Unemployment) using a bivariate unobserved components model for inflation and unemployment as proposed by Chan, Koop and Potter (2015). This model differs from the existing literature by considering bounded random walks for the latent variables. The latent variables of model are NAIRU, trend inflation, inflation persistence and the slope of the Phillips Curve. The results indicate a declining trend for the NAIRU, which has been reversed in recent period. In addition, the unemployment gap was predominantly positive until 2010, which is consistent with the decrease in inflation and has been predominantly negative in recent years, wich implies increasing inflation. This is consistent with the observed behavior of inflation in the period. Thus, this paper contributes to the empirical literature about the NAIRU in Brazil, providing new estimates for the recent period, wich could increase the degree of confidence of the estimates provided.
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