Phillips curve in Brazil: an unobserved components approach

This paper estimates reduced-form Phillips curves for Brazil with a framework of time series with unobserved components, in the spirit of Harvey (2011). However, we allow for expectations to play a key role using data from the Central Bank of Brazil’s Focus survey. Besides GDP, we also use industr...

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Autores principales:	Vicente da Gama Machado, Marcelo Savino Portugal
Formato:	article
Lenguaje:	EN PT
Publicado:	Universidade de São Paulo 2014
Materias:	New Keynesian Phillips curve inflation unobserved components Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/f6d872d98eca42af8f27223c113d5a0e
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spelling	oai:doaj.org-article:f6d872d98eca42af8f27223c113d5a0e2021-11-24T16:03:44ZPhillips curve in Brazil: an unobserved components approach0101-41611980-5357https://doaj.org/article/f6d872d98eca42af8f27223c113d5a0e2014-12-01T00:00:00Zhttps://www.revistas.usp.br/ee/article/view/38364https://doaj.org/toc/0101-4161https://doaj.org/toc/1980-5357 This paper estimates reduced-form Phillips curves for Brazil with a framework of time series with unobserved components, in the spirit of Harvey (2011). However, we allow for expectations to play a key role using data from the Central Bank of Brazil’s Focus survey. Besides GDP, we also use industrial capacity utilization rate and an unexplored time series (IBC-Br), as measures of economic activity. Our findings support the view that Brazilian inflation targeting has been successful in reducing the variance of both the seasonality and level of the inflation rate, at least until before the subprime crisis. Furthermore, inflation in Brazil seems to have responded gradually less to measures of economic activity in recent years. This provides some evidence of a flattening of the Phillips curve in Brazil, a trend previously shown by recent studies for other countries. Vicente da Gama MachadoMarcelo Savino PortugalUniversidade de São PauloarticleNew Keynesian Phillips curveinflationunobserved componentsEconomics as a scienceHB71-74ENPTEstudos Econômicos, Vol 44, Iss 4 (2014)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	New Keynesian Phillips curve inflation unobserved components Economics as a science HB71-74
spellingShingle	New Keynesian Phillips curve inflation unobserved components Economics as a science HB71-74 Vicente da Gama Machado Marcelo Savino Portugal Phillips curve in Brazil: an unobserved components approach
description	This paper estimates reduced-form Phillips curves for Brazil with a framework of time series with unobserved components, in the spirit of Harvey (2011). However, we allow for expectations to play a key role using data from the Central Bank of Brazil’s Focus survey. Besides GDP, we also use industrial capacity utilization rate and an unexplored time series (IBC-Br), as measures of economic activity. Our findings support the view that Brazilian inflation targeting has been successful in reducing the variance of both the seasonality and level of the inflation rate, at least until before the subprime crisis. Furthermore, inflation in Brazil seems to have responded gradually less to measures of economic activity in recent years. This provides some evidence of a flattening of the Phillips curve in Brazil, a trend previously shown by recent studies for other countries.
format	article
author	Vicente da Gama Machado Marcelo Savino Portugal
author_facet	Vicente da Gama Machado Marcelo Savino Portugal
author_sort	Vicente da Gama Machado
title	Phillips curve in Brazil: an unobserved components approach
title_short	Phillips curve in Brazil: an unobserved components approach
title_full	Phillips curve in Brazil: an unobserved components approach
title_fullStr	Phillips curve in Brazil: an unobserved components approach
title_full_unstemmed	Phillips curve in Brazil: an unobserved components approach
title_sort	phillips curve in brazil: an unobserved components approach
publisher	Universidade de São Paulo
publishDate	2014
url	https://doaj.org/article/f6d872d98eca42af8f27223c113d5a0e
work_keys_str_mv	AT vicentedagamamachado phillipscurveinbrazilanunobservedcomponentsapproach AT marcelosavinoportugal phillipscurveinbrazilanunobservedcomponentsapproach
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Phillips curve in Brazil: an unobserved components approach

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