Since 2014
Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
Revista Brasileira de Economia
View Archive Info| Field | Value | |
| Title |
Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
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| Creator |
Ferreira, Diego; UFPR
Palma, Andreza Aparecida; UFSCar |
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| Subject |
Phillips Curve; Inflation; Forecast; Time-Varying Parameter
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| Description |
This paper proposes a generalized Phillips curve in order to forecast Brazilian inflation over the 2003:M1–2013:M10 period. To this end, we employ the Dynamic Model Averaging (DMA) method, which allows for both model evolution and time-varying parameters. The procedure mainly consists in state-space representation and by Kalman filter estimation. Overall, the dynamic specifications deliver good inflation predictions for all the forecast horizons considered, underscoring the importance of time-varying features for forecasting exercises. As to the usefulness of the predictors on explaining the Brazilian inflation, there are evidences that the short- and long-term Phillips curve relationship may be rejected for Brazil while short- and medium-term exchange rate pass-through apparently has been decreasing in the last years.
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| Publisher |
Escola de Pós-Graduação em Economia da FGV
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| Contributor |
—
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| Date |
2015-12-02
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Articles Artigos |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/34068
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| Source |
Revista Brasileira de Economia; v. 69, n. 4 (2015); 331-354
Revista Brasileira de Economia; v. 69, n. 4 (2015); 331-354 0034-7140 0034-7140 |
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| Language |
por
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/34068/56228
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| Rights |
Direitos autorais 2015 Revista Brasileira de Economia
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