| Autor(es): |
Alves, Cassio R. A.
;
Laurini, Marcio P.
Número total de Autores: 2
|
| Tipo de documento: | Artigo Científico |
| Fonte: | ECONOMICS BULLETIN; v. 42, n. 2, p. 9-pg., 2022-01-01. |
| Resumo | |
We analyze whether the presence of a time-varying inflation target and stochastic volatility affect inflation persistence. We estimated different autoregressive specifications for inflation with and without time-varying parameters. The results show that the inflation persistence diminishes when we consider time-varying inflation target and stochastic volatility with jumps. We conclude that neglecting the time variation in inflation target and inflation volatility results in an upward biased estimation of persistence. (AU) | |
| Processo FAPESP: | 18/04654-9 - Séries temporais, ondaletas e dados de alta dimensão |
| Beneficiário: | Pedro Alberto Morettin |
| Modalidade de apoio: | Auxílio à Pesquisa - Temático |