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Estudos Econômicos (São Paulo)

Print version ISSN 0101-4161On-line version ISSN 1980-5357

Abstract

FIGUEIREDO, Erik Alencar de  and  MARQUES, André M.. Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch. Estud. Econ. [online]. 2009, vol.39, n.2, pp.437-458. ISSN 1980-5357.  https://doi.org/10.1590/S0101-41612009000200008.

The aim of this paper is search for the long memory in the Brazilian inflation rate, describing it as a fractionally integrated process in the first and second moments. So, it is employed the more recent methodology of ARFIMA-FIGARCH models. The main result endorses the hypothesis of inertial inflation in the short and long run, and the Friedman's hypothesis of interaction between mean and volatility of price inflation.

Keywords : inertial inflation; ARFIMA-FIGARCH; long memory; volatility.

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