%0 Journal Article
%T N o linearidades, mudan as de regime e assimetrias na taxa de infla  o brasileira: an¨¢lise a partir de um modelo SETAR, 1944-2009 Applying SETAR model to detect some nonlinearities, change of regime and asymmetries in the Brazilian inflation rate, 1944-2009
%A Andr¨¦ M. Marques
%J Economia e Sociedade
%D 2013
%I Universidade Estadual de Campinas
%X O objetivo principal deste estudo ¨¦ investigar assimetrias e n o linearidades na infla  o brasileira, descrevendo-a como um processo autorregressivo sujeito a mudan as de regime. A metodologia empregada baseia-se na aplica  o de testes para tr¨ºs tipos de n o linearidade. Foi estimado um modelo SETAR com dois regimes capaz de descrever o comportamento n o linear e assim¨¦trico de um processo autorregressivo. Todos os testes indicaram a n o linearidade da infla  o brasileira. Os resultados das estima  es sugerem a ocorr¨ºncia de pelo menos dois regimes distintos para a infla  o com diferentes processos geradores. O regime de baixa infla  o ¨¦ o menos vol¨¢til e o mais persistente. A despeito dos per¨ªodos de alta infla  o e alta volatilidade, conclui-se que o regime de baixa infla  o com baixa volatilidade ¨¦ uma caracter¨ªstica predominante na economia brasileira. The objective of this research is to investigate asymmetries, nonlinearities and regime changes in the Brazilian inflation rate in a long time span. The process is modeled employing a threshold time series model in order to take into account these parameters. The study was divided in two distinct stages. On the first stage, the Brazilian dataset was tested for several types of nonlinearities applying general and specific tests, e.g., quadratic and threshold behavior. On the second one, the Self-Exciting Threshold Autoregressive (SETAR) model was applied to indicate the threshold to which a signal of turning point could be provided in the states of the inflationary process. All the tests suggest that the Brazilian inflation rate is highly nonlinear and cannot be modeled as a linear and time reversible process. The results support the hypothesis that there are two distinct regimes with different generating processes and different volatilities and persistence. For instance, a lower inflation rate regime is more persistent with lower volatility.
%K Infla  o
%K SETAR
%K N o linearidade
%K Inflation
%K Threshold model
%K Brazil
%U http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0104-06182013000100005