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Inflation persistence for product groups in Brazil using the ARFIMA-GARCH model

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  • Adriana Ferreira Silva
  • Aniela Fagundes Carrara
  • Nicole Rennó Castro

Abstract

This study uses ARFIMA-GARCH models and structural break tests to analyse the persistence of Brazilian inflation. Its main contribution is to carry out a disaggregated analysis for nine product groups. The main evidences found are: all price groups and aggregate inflation present a stationary behaviour with reversion to the long-term mean, but there are heterogeneities; aggregate persistence is overestimated due to aggregation bias; the hypothesis that state-regulated prices are more persistent is not confirmed; in turn, the results corroborate the existence of the service-puzzle; and, persistence in the food and beverage group, although low, was relatively higher than expected.

Suggested Citation

  • Adriana Ferreira Silva & Aniela Fagundes Carrara & Nicole Rennó Castro, 2024. "Inflation persistence for product groups in Brazil using the ARFIMA-GARCH model," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 17(3), pages 485-504, September.
    • Handle: RePEc:taf:macfem:v:17:y:2024:i:3:p:485-504
    DOI: 10.1080/17520843.2022.2080345
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