Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
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 s...
| Autores: | , |
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| Tipo de documento: | artigo |
| Estado: | Versão publicada |
| Data de publicação: | 2015 |
| País: | Brasil |
| Recursos: | Fundação Getulio Vargas (FGV) |
| Repositório: | Revista Brasileira de Economia (Online) |
| Idioma: | português |
| OAI Identifier: | oai:ojs.periodicos.fgv.br:article/34068 |
| Acesso em linha: | https://periodicos.fgv.br/rbe/article/view/34068 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Phillips Curve Inflation Forecast Time-Varying Parameter |
| Resumo: | 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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