forecasting inflation with the phillips curve: a dynamic model averaging approach for brazil

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2015
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Abstract
This paper proposes a generalized Phillips curve in order to forecast Brazilian inflation over the 2003:M1–2013:M10 period. To this end, we employ the Dynamic Model Averaging (DMA) method, which allows for both model evolution and time-varying parameters. The procedure mainly consists in state-space representation and by Kalman filter estimation. Overall, the dynamic specifications deliver good inflation predictions for all the forecast horizons considered, underscoring the importance of time-varying features for forecasting exercises. As to the usefulness of the predictors on explaining the Brazilian inflation, there are evidences that the short- and long-term Phillips curve relationship may be rejected for Brazil while short- and medium-term exchange rate pass-through apparently has been decreasing in the last years.
Reference Key
ferreira2015revistaforecasting Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Diego Ferreira;Andreza Aparecida Palma
Journal langenbeck's archives of surgery
Year 2015
DOI
10.5935/0034-7140.20150021
URL
http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402015000400451&lng=en&tlng=en
Keywords
forecast phillips curve inflation

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