Inflation persistence for product groups in Brazil using the ARFIMA-GARCH model

Adriana Ferreira Silva, Aniela Fagundes Carrara and Nicole Rennó Castro

Macroeconomics and Finance in Emerging Market Economies, 2024, vol. 17, issue 3, 485-504

Abstract: This study uses ARFIMA-GARCH models and structural break tests to analyse the persistence of Brazilian inflation. Its main contribution is to carry out a disaggregated analysis for nine product groups. The main evidences found are: all price groups and aggregate inflation present a stationary behaviour with reversion to the long-term mean, but there are heterogeneities; aggregate persistence is overestimated due to aggregation bias; the hypothesis that state-regulated prices are more persistent is not confirmed; in turn, the results corroborate the existence of the service-puzzle; and, persistence in the food and beverage group, although low, was relatively higher than expected.

Date: 2024
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DOI: 10.1080/17520843.2022.2080345

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