Imperfect rationality and inflationary inertiaa new estimation of the Phillips Curve for Brazil

Resumo

This paper presents some new estimates for the relationship between inflation and unemployment in Brazil based on a new Keynesian hypothesis about the behavior of the economy. Four main hypotheses are tested and sustained throughout the study: i) agents do not have perfect rationality; ii) the imperfection in the agents expectations generating process may be an important factor in explaining the high persistence (inertia) of Brazilian inflation; iii) inflation does have an autonomous inertial component, without linkage to shocks in individual markets; iv) a non-linear relationship between inflation and unemployment is able to provide better explanations for the inflation-unemployment relationship in the Brazilian economy in the last 12 years. While the first two hypotheses are tested using a Markov Switching based model of regime changes, the remaining two are tested in a context of a convex Phillips Curve estimated using the Kalman filter. Despite the methodological and estimation improvements provided in the paper, the impulse-response functions for the monetary policy presented the same properties shown in the literature that uses Brazilian data.

Ficha do documento

Tipo

Artigo científico

Ano

2004

Instituição

Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária

Fonte

Estudos Econômicos

Idioma

Inglês

Acesso

Não informado

DOI

10.1590/S0101-41612004000400004

Identificador

oai:revistas.usp.br:article/35831

Licença

http://creativecommons.org/licenses/by-nc/4.0

Temas

Economia

Palavras-chave

curva de Phillipsexpectativasinflaçãohiato do desempregomodelos markovianosfiltro de KalmanSURPhillips curveexpectationsinflationNAIRU-gapMarkov switching modelsKalman filter