Inflação e Dinâmica dos Preços Relativos no Brasil: Uma Análise dos Preços ao Consumidor e ao Produtor Via Filtro de Kalman

Abstract

The objective of this paper is to empirically investigate the relationship between the inflation rate and relative price variability (RPV) for the Brazilian economy, from the perspective of the consumer (IPCA) and the producer (IPA). The econometric methodology applied involves a state space representation, using a Kalman Filter as an estimator, in order to have the time-varying parameters. As initial parameters, the coefficients estimated via Ordinary Least Squares (OLS) will be used. In addition, Rolling Regressions will be used to monitor the evolution of the coefficients obtained by OLS. The period of analysis ranges from August 1999 to April, for consumer prices, and from January 2009 to April 2022, for producer prices, with emphasis given on the Covid-19 pandemic period. The results corroborate the positive relationship between inflation and RPV in all calculations. However, there are significant divergences in the intensity of this relationship with regard to consumer and producer prices, especially when the period referring pandemic crisis is taken into account. The intensity in the IPCA relationship and its relative prices is higher when considering the Covid-19 period, indicating a certain intensification of the relationship in times of crisis. However, with regard to the IPA and its relative prices, the behavior is the opposite, the intensity is higher when disregarding the months referring to the Coronavirus pandemic.