{"title":"Testing for asymmetric adjustment in weekly Brazilian inflation","authors":"André M. Marques","doi":"10.1590/0103-6351/5269","DOIUrl":null,"url":null,"abstract":"Abstract This study analyses the nature of weekly inflation response to shocks in the Brazilian economy by adopting a generalized quantile autoregression model in which the autoregressive parameter is allowed to be quantile-dependent. We test for unit root at different conditional quantiles of the response variable, by characterizing its asymmetric dynamics along the business cycle. The method allows us to estimate the magnitude, sign, and the significance of actual shocks that affect Brazilian inflation. We evaluate the robustness of results by adopting a bootstrap procedure. Concerning previous studies, we find evidence of stronger asymmetric persistence in inflationary dynamics in which an inflationary shock below the average dissipates very fast when compared to an inflationary impulse occurring above the average. Location, size, and the sign of a random shock might be essential for inflation adjustment towards long-run equilibrium. The results do not support the full inertia hypothesis.","PeriodicalId":35209,"journal":{"name":"Nova Economia","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Nova Economia","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1590/0103-6351/5269","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract This study analyses the nature of weekly inflation response to shocks in the Brazilian economy by adopting a generalized quantile autoregression model in which the autoregressive parameter is allowed to be quantile-dependent. We test for unit root at different conditional quantiles of the response variable, by characterizing its asymmetric dynamics along the business cycle. The method allows us to estimate the magnitude, sign, and the significance of actual shocks that affect Brazilian inflation. We evaluate the robustness of results by adopting a bootstrap procedure. Concerning previous studies, we find evidence of stronger asymmetric persistence in inflationary dynamics in which an inflationary shock below the average dissipates very fast when compared to an inflationary impulse occurring above the average. Location, size, and the sign of a random shock might be essential for inflation adjustment towards long-run equilibrium. The results do not support the full inertia hypothesis.
Nova EconomiaEconomics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
0.60
自引率
0.00%
发文量
11
审稿时长
53 weeks
期刊介绍：
Nova Economia is the journal of the Economics Department at Universidade Federal de Minas Gerais (Brazil). It publishes articles and book reviews in all areas of economics and related disciplines. Nova Economia adopts a pluralistic orientation and welcomes papers in all research traditions and theoretical schools. Submisssions are peer-reviewed and scholarly standards are the sole criteria for editorial decisions. Nova Economia is published three times a year and offers free on-line access to the full articles published from 2000 on.
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