Duas décadas de metas para a inflação no Brasil: uma análise da persistência inflacionária e do repasse cambial

Abstract

This paper empirically analyzes the dynamics of Brazilian inflation during two decades of the inflation targeting regime in Brazil, focusing on inflationary persistence and exchange rate pass-through. For the period between January 1999 and December 2019, fractional integration autoregressive models (ARFIMA) and estimates with time variant parameters (TVP) are used, using the Kalman filter. The results of the ARFIMA models show that inflationary persistence is more present in inflation expectations and in core inflation than in the IPCA. This translates into controlled persistence. For the expectations and core inflation there seems to be an influence of structural breaks. The main results of the analysis via TVP are: (i) the TVP approach is relevant due to the instabilities found throughout the analyzed period; (ii) the coefficients of inflation expectations are greater than the inertia (persistence) in all cases, however inertia is an important determinant of inflation; (iii) cost shock is responsible for the instability in the parameters of inertia and expectation; (iv) the exchange rate pass-through coefficient is higher in the analysis until 2019 and there is statistical significance, differently from the case until 2014; (v) core inflation presents more stable parameters compared to the IPCA; (vi) chronic crisis of the economy after 2015 caused greater instability in the parameters of the Phillips curve with dependent variable the IPCA than core inflation.