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Economia Aplicada

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FIGUEIREDO, Erik Alencar de  and  MARQUES, André M.. Inflação inercial sob mudanças de regime: análise a partir de um modelo MS-ARFIMA, 1944-2009. Econ. Apl. [online]. 2011, vol.15, n.3, pp.443-457. ISSN 1413-8050.

The main goal of this paper is search for the long run dependence in the Brazilian inflation rate allowing regime switching by the MS-ARFIMA model. The principal contribution of this paper is the simultaneous and consistent estimation of longmemory coefficient d and the several regimes that encompass them. The results enable us to conclude that there were two regimes in the Brazilian economy with high persistence: hyperinflation regime and low inflation regime. The long run memory of inflation rate is dependent upon regime switching. The low inflation regime is the more persistent one.

Keywords : Inertial Inflation; MS-ARFIMA; Long Run Dependence.

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