{"title":"Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter","authors":"Eduardo Lima Campos, R. Cysne","doi":"10.11606/1980-5330/EA141132","DOIUrl":null,"url":null,"abstract":"This paper compares the time-varying cointegration and the Kalman filter techniques to estimate the Brazilian money demand between 1996 and 2015. The estimation using Kalman filtering performs better and is subsequently used to calculate the welfare cost of inflation. Taking into consideration the time variability of the interest-rate elasticity during the period, the average welfare cost amounts to 0.24% of the GDP, for an average annual inflation of 6.63%.","PeriodicalId":35050,"journal":{"name":"Economia Aplicada","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economia Aplicada","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.11606/1980-5330/EA141132","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: 1
Abstract
This paper compares the time-varying cointegration and the Kalman filter techniques to estimate the Brazilian money demand between 1996 and 2015. The estimation using Kalman filtering performs better and is subsequently used to calculate the welfare cost of inflation. Taking into consideration the time variability of the interest-rate elasticity during the period, the average welfare cost amounts to 0.24% of the GDP, for an average annual inflation of 6.63%.
Economia AplicadaEconomics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
0.30
自引率
0.00%
发文量
5
审稿时长
100 weeks
期刊介绍：
The journal Economia Aplicada (Brazilian Journal of Applied Economics) is a quarterly publication of the Dept. of Economics of the Faculty of Economics, Business and Accounting of the University of São Paulo at Ribeirão Preto (FEA-RP/USP). It was first published in 1997 by the Dept. of Economics of FEA-USP and by FIPE, with the primary concern of filling an editorial gap in Brazil. The Journal"s interest is to publish solely scientific papers on applied economics. Nowadays it has the same goal. Its focus is to publish papers with economic analysis applied to specific problems of interest either to public or private sector, especially with quantitative results bringing theory and reality closer.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
