Long Memory Inflationary Dynamics: The Case of Brazil
Reisen Valderio A,
Cribari-Neto Francisco and
Mark Jensen ()
Additional contact information
Reisen Valderio A: University Federal do Espirito Santo
Cribari-Neto Francisco: University Federal de Pernambuco
Studies in Nonlinear Dynamics & Econometrics, 2003, vol. 7, issue 3, 1-18
It has been argued by several authors that the inflationary dynamics in Brazil follow a unit root process, thus displaying some inertia. Indeed, Cati, et al. (Journal of Applied Econometrics, 1999) have found that the inflationary dynamics in Brazil are nearly fully inertial. We estimate the fractional differencing parameter using an ARFIMA specification for the inflation rate in that country and our results suggest that the inflationary dynamics are better modeled by a long memory process than by a unit root mechanism, thus implying that there is no inertia in inflation, contrary to what has been found by other researchers. We also found that the estimates of the fractional parameter are invariant to first differencing.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
https://www.degruyter.com/view/j/snde.2003.7.3/snd ... .1157.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:7:y:2003:i:3:n:3
Ordering information: This journal article can be ordered from
Access Statistics for this article
Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach
More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().