Uma anÃlise da dinÃmica inflacionÃria brasileira

AUTOR(ES)

Keila Mara Cassiano

DATA DE PUBLICAÇÃO

2004

RESUMO

The chief goal of this thesis is to analyze the Brazilian inflationary dynamics, and to measure the degree of inertia in such dynamics. To that end, we start by reporting Monte Carlo simulation results on the finite-sample performance of different variants of the variance ratio, a well know measure of long-run persistence of shocks. The simulations are performed under normal and nonnormal innovations, and also with and without outliers and inliers. Overall, the results favor a robust variant of the variance ratio. The empirical results for Brazil suggest that the degree of inertia in this country is substantially larger than what was found by CampËelo and CribariâNeto [Revista Brasileira de Economia, 57, 515-541, 2003]; indeed, in several periods of the recent economic history we find complete inertia. However, the degree of inertia since the implementation of the Real Plan is small. We also present empirical results for Argentina, Chile and Mexico

ASSUNTO(S)

dinÃmica inflacionÃria brasileira passeio aleatÃrio estatistica persistÃncia de choques

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