Dinâmica recente da inflação brasileira em ambientes distintos de expectativas forward-looking

Abstract

RESUMO Este estudo analisa como a inflação brasileira recente responde aos ciclos econômicos e ao seu componente inercial considerando ambientes distintos de expectativas forward-looking no arcabouço da Curva de Phillips Novo-Keynesiana Híbrida (CPNKH). Para tal, faz-se uso de informações mensais entre janeiro de 2002 e agosto de 2015 e estimações de GMM-HAC da CPNKH. Os resultados sugerem que a inflação brasileira ainda possui um forte componente inercial e que, em um ambiente de menor previsibilidade dos agentes, a inflação se mostra mais sensível às oscilações cíclicas da atividade econômica. Por fim, observou-se um repasse cambial positivo e significante para a inflação brasileira.

Core Inflation, Expectations and Inflation Dynamics in Brazil

“…on the inflation dynamics, respectively. These impacts have a similar magnitude to those observed in recent works, such as those of Arruda, Oliveira and Castelar (2017) and Ferreira, Gois and Arruda (2018). These results corroborate the hypothesis formulated by Santos and Castelar (2016) that core inflation measures are good leading indicators of Brazilian inflation dynamics, exerting an important role in the conduction of monetary policy.…”

“…The results further revealed that the estimated coefficients of the impact of inflation inertia were greater than those of forward-looking expectations, with magnitudes ranging between 0.52 and 0.62. This result appears to indicate a recent evolution of the level of indexation of the economy, in line with the findings of Carvalho (2014) and Arruda, Oliveira, and Castelar (2017), since some authors who estimated the NKPC for earlier periods observed a stronger influence of forward-looking expectations (Areosa & Medeiros, 2007;Correa & Minella, 2010;Mendonça, Sachida, & Medrano, 2012). The exchange rate pass-through was statistically significant in two of the models, IPCA.MA and IPCA.DP.…”

“…In general, the evidence confirmed the ability of the HNKPC to model Brazil's inflation dynamics in the period considered, since the variables were statistically significant and had the signs predicted by the theory. This result also is supported by the works of Areosa and Medeiros (2007), Correa and Minella (2010), Mendonça, Sachsida and Medrano (2012) and Arruda, Oliveira and Castelar (2017).…”

“…The results indicate that Brazilian inflation has an important inertial component, since the impact of backward-looking expectations was greater than that of the forward-looking component in all the models considered. Similar results were also reported by Arruda, Oliveira, and Castelar (2017). According to Carvalho (2014), although the Real Plan (Note 5) reduced the velocity of price adjustments, it did not fully end indexation in the economy, and in recent years the degree of indexation has begun to rise again, which might have increased the impact of inertia on inflation.…”

“…However, the results are highly sensitive to the estimation methods and proxies adopted, especially regarding the indicators of inflation expectations. The main works use inflation forecasts extracted from the Focus survey, for the mean, median or first day of the month, or forecasts obtained from time series models (Mendonça, Sachsida, & Medrano, 2012;Sachsida, 2013;Arruda, Oliveira, & Castelar, 2017).…”