Estudo de quebra estrutural nos parâmetros da inflação durante a pandemiaum modelo VAR estrutural

Resumo

This article produces simulations and modeling of macroeconomic variables in order to verify if there was a structural break in the parameters that interfere with inflation in Brazil during the COVID-19 pandemic. After a theoretical deepening in the existing literature on structural breaks, the work analyzes the selected data (Commodities Index, Exchange, IBC-BR, CDI, IPCA, IGPM and IPA) in the period between March 2003 and July 2022, dissecting its behavior. Later, it conducts simulations to verify the existence or not of the breaks. In this way, this study ends up being a pioneer in the subject, since there is still no similar analysis for the pandemic period in Brazil. The results show that there was a structural break in some inflation parameters, which may mean that traditional inflation control tools may not work as expected.This article produces simulations and modeling of macroeconomic variables in order to verify if there was a structural break in the parameters that interfere with inflation in Brazil during the COVID-19 pandemic. After a theoretical deepening in the existing literature on structural breaks, the work analyzes the selected data (Commodities Index, Exchange, IBC-BR, CDI, IPCA, IGPM and IPA) in the period between March 2003 and July 2022, dissecting its behavior. Later, it conducts simulations to verify the existence or not of the breaks. In this way, this study ends up being a pioneer in the subject, since there is still no similar analysis for the pandemic period in Brazil. The results show that there was a structural break in some inflation parameters, which may mean that traditional inflation control tools may not work as expected.

Ficha do documento

Tipo

Tese

Ano

2022

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/32913

Temas

EconomiaDados

Palavras-chave

InflationPandemicsStructural breakInflaçãoPandemiaQuebra estruturalEconomiaInflação - BrasilCOVID-19 Pandemia, 2020-Modelos econométricosMacroeconomiaIndicadores econômicos