Este artigo realiza estimativas de Curvas de Phillips para o Brasil a partir de dados de preços desagregados utilizando-se o método de mínimos quadrados em três estágios. Dessa forma é possível aliviar o problema da baixa disponibilidade de dados disponível para a economia brasileira e realizar uma análise mais detalhada da dinâmica da inflação. As regressões são realizadas com a utilização da capacidade da indústria, tal como divulgada pela FGV, como proxy para o efeito do ciclo econômico sobre a inflação, evitando, assim, o problema normalmente encontrado de baixa significância do parâmetro para o hiato do produto. São estimadas as variações do modelo básico com vistas a testar o efeito de algumas das diferentes opções de modelagem realizadas pela literatura, como a imposição de verticalidade de longo prazo da Curva de Phillips e a modelagem de coeficiente de repasse não-linear, entre outras, além de testar o efeito da instabilidade política no segundo semestre de 2002 sobre a dinâmica da inflação, entre outros aspectos. Um dos resultados é que de forma geral não é possível rejeitar a hipótese de verticalidade de longo prazo, de forma que esta parece ser uma boa hipótese de trabalho ao se analisar a economia brasileira.
Given the frequency of price changes, the real e¤ects of a monetary shock are smaller if adjusting …rms are disproportionately likely to be ones with prices set before the shock. This selection e¤ ect is important in a large class of sticky-price models with time-dependent price adjustment. We provide a very general analytical characterization of the relationship between this selection e¤ect, the distribution of the duration of price spells, and the real e¤ects of monetary shocks. We …nd that: 1) Selection is stronger and real e¤ects are smaller if the hazard function of price adjustment is more strongly increasing; 2) Selection is weaker and real e¤ects are larger if there is sectoral heterogeneity in price stickiness; 3) Selection is stronger and real e¤ects are smaller if the durations of price spells are less variable. We also show that 4) If monetary shocks a¤ect primarily the level of nominal aggregate demand, the mean and variance of price durations are su¢ cient statistics for the real e¤ects of such shocks.JEL classi…cation codes: E1, E3
Given the frequency of price changes, the real e¤ects of a monetary shock are smaller if adjusting …rms are disproportionately likely to be ones with prices set before the shock. This selection e¤ ect is important in a large class of sticky-price models with time-dependent price adjustment. We provide a very general analytical characterization of the relationship between this selection e¤ect, the distribution of the duration of price spells, and the real e¤ects of monetary shocks. We …nd that: 1) Selection is stronger and real e¤ects are smaller if the hazard function of price adjustment is more strongly increasing; 2) Selection is weaker and real e¤ects are larger if there is sectoral heterogeneity in price stickiness; 3) Selection is stronger and real e¤ects are smaller if the durations of price spells are less variable. We also show that 4) If monetary shocks a¤ect primarily the level of nominal aggregate demand, the mean and variance of price durations are su¢ cient statistics for the real e¤ects of such shocks.JEL classi…cation codes: E1, E3
We conduct an accounting exercise of the role of worker ‡ows between unemployment, employment, and labor force nonparticipation in the dynamics of the aggregate
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