Dynamic structural econometric models and high inflation in Brazil
Dynamic structural econometric models and high inflation in Brazil
The properties of the monetary system in Brazil, during the high inflation period (1980-1995) are investigated.
A literature review emphasizing empirical attempts is carried out. The evidence in the literature shows that the Cagan model is a good specification for the money demand prior to 1986. Nevertheless the results of the present doctoral thesis show that from 1986 onwards after the first stabilization plan started the empirical evidence does not support the Cagan model.
Alternatively a dynamic structural econometric model (SEM) is proposed. The sample size is divided into three distinct periods: 1. 1980 until 1986(2), 2. 1986(3) until 1994(6) 3. 1994 until 2002(2). A long run money demand equation is identified in the second and third periods. The results for the first period support the view that the accommodating monetary policy (M1) followed after the 1984 economic upturn in a highly indexed economy allowed the increase in the inflation rates. In period 2 the short run price dynamics depicted the presence of memory in the process reflecting indexation. The long run response to shocks in inflation is positive representing a long run increasing trend.
The influence of the administered exchange rate devaluations and nominal wage inflation on price dynamic is investigated. For the first period in the short run the impact of inflation on industrial activity originated in the nominal wage inflation not in price inflation. In the second period the short run model dynamics shows the growth in the industrial production and inflation rate being driven by past inflation (wage and prices) in line with the theoretical model proposed.
University of Southampton
Corrêa, Wilson Luiz Rotatori
209df482-bd37-460a-94b8-a14dc71bc34a
2007
Corrêa, Wilson Luiz Rotatori
209df482-bd37-460a-94b8-a14dc71bc34a
Corrêa, Wilson Luiz Rotatori
(2007)
Dynamic structural econometric models and high inflation in Brazil.
University of Southampton, Doctoral Thesis.
Record type:
Thesis
(Doctoral)
Abstract
The properties of the monetary system in Brazil, during the high inflation period (1980-1995) are investigated.
A literature review emphasizing empirical attempts is carried out. The evidence in the literature shows that the Cagan model is a good specification for the money demand prior to 1986. Nevertheless the results of the present doctoral thesis show that from 1986 onwards after the first stabilization plan started the empirical evidence does not support the Cagan model.
Alternatively a dynamic structural econometric model (SEM) is proposed. The sample size is divided into three distinct periods: 1. 1980 until 1986(2), 2. 1986(3) until 1994(6) 3. 1994 until 2002(2). A long run money demand equation is identified in the second and third periods. The results for the first period support the view that the accommodating monetary policy (M1) followed after the 1984 economic upturn in a highly indexed economy allowed the increase in the inflation rates. In period 2 the short run price dynamics depicted the presence of memory in the process reflecting indexation. The long run response to shocks in inflation is positive representing a long run increasing trend.
The influence of the administered exchange rate devaluations and nominal wage inflation on price dynamic is investigated. For the first period in the short run the impact of inflation on industrial activity originated in the nominal wage inflation not in price inflation. In the second period the short run model dynamics shows the growth in the industrial production and inflation rate being driven by past inflation (wage and prices) in line with the theoretical model proposed.
Text
1117638.pdf
- Version of Record
More information
Published date: 2007
Identifiers
Local EPrints ID: 466306
URI: http://eprints.soton.ac.uk/id/eprint/466306
PURE UUID: 4e116f2d-35ee-47e7-bf1f-084a3e63edde
Catalogue record
Date deposited: 05 Jul 2022 05:09
Last modified: 16 Mar 2024 20:37
Export record
Contributors
Author:
Wilson Luiz Rotatori Corrêa
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics